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Suppose You Held a Well-Diversified Portfolio with a Very Large

Question 8

Multiple Choice

Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds. If the σ of your portfolio was 0.20 and σM was 0.16, the β of the portfolio would be approximately


A) 0.64.
B) 0.80.
C) 1.25.
D) 1.56.

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