Question: In a single-index model, the following table gives the expected returns, alphas (a ), standard deviation (o), beta (f) and firm-specific standard deviation (oc) for

In a single-index model, the following table gives the expected returns,

In a single-index model, the following table gives the expected returns, alphas (a ), standard deviation (o), beta (f) and firm-specific standard deviation (oc) for the market, the risk-free asset, the three stocks A, B and C, all in annualized terms. Asset E[r] a o B 0. 5.0% 30.0% 1.00 B 10.0% -5.0% 100.0% C 10.0% 0.50 40.0% Market 5.0% 20.0% Risk-free 0.0% Find the beta of Asset B. 1 2 O 1.5 O

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