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

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 0.18 and σ_M was 0.24, the β of the portfolio would be approximately

A) 0.75.
B) 0.56.
C) 0.07.
D) 1.03.