4 5.4 Prove that the portfolio beta is the weighted average of the beta of each asset in the portfolio, withthe weight being that in terms of the asset value. (To keep it simple, do this for a portfolio of threeassets.)

The overall systematic risk of a portfolio of investments is measured by portfolio beta. Because the…

Answered: 5.4 Prove that the portfolio beta is…

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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5.4 Prove that the portfolio beta is the weighted average of the beta of each asset in the portfolio, with the weight being that in terms of the asset value. (To keep it simple, do this for a portfolio of three assets.)