Which one of the following statements is correct concerning a portfolio beta? A)
ID: 2793063 • Letter: W
Question
Which one of the following statements is correct concerning a portfolio beta?
A)
The beta of a portfolio of U.S. Treasury Bills is +1.0.
B)
The beta of the market portfolio is equal to 0.
C)
Portfolio betas range between -1.0 and +1.0.
D)
The portfolio beta is the weighted average of the betas of the securities in the portfolio.
E)
To compute a portfolio beta, you must know the correlations between all pairs of securities in the portfolio.
Which one of the following statements is correct concerning a portfolio beta?
Explanation / Answer
Beta of Treasury bill is zero and market is 1. Beta of portfolio may be less than or more than 1.Portfolio consists of several individual securities. Each security has different risk and returns and therefore different beta. Portfolio beta is the sum of weighted beta of ecah security.
Correct Answer D
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