Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds. If the ? of your portfolio was 0.24 and ?M was 0.18, the ? of the portfolio would be approximately
A. 0.64.
B. 1.33.
C. 1.25.
D. 1.56.
B. 1.33.
s2p/s2m = b2; (0.24)2/(0.18)2 = 1.78; b = 1.33.
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