The betas for company 1 andcompany 2 are 0.636 and 0.291,respectively. The market variance is10.3%. Form an equally-weightedportfolio of company 1 and company2. The systematic risk of this portfolioaccording to the single index model isclosest toSelect one:a. 1.92%b. 4.56%c. 2.21%O d. 3.25%<

The systematic risk (beta) of a portfolio in the single index model can be calculated as the…

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2. The systematic risk of this portfolio according to the single index model is closest to

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Question

The betas for company 1 and
company 2 are 0.636 and 0.291,
respectively. The market variance is
10.3%. Form an equally-weighted
portfolio of company 1 and company
2. The systematic risk of this portfolio
according to the single index model is
closest to
Select one:
a. 1.92%
b. 4.56%
c. 2.21%
O d. 3.25%
<

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