Suppose that the correlation of the return of a portfolio with the return of its benchmark is

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Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of the portfolio is 6%, and the volatility of the return of the benchmark is 4%. What is the beta of the portfolio?

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Statistics The Art And Science Of Learning From Data

ISBN: 9780321755940

3rd Edition

Authors: Alan Agresti, Christine A. Franklin

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Posted Date: Apr 10, 2023 02:12 AM

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Suppose that the correlation of the return of a portfolio with the return of its benchmark is

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The beta of a portfolio is a measure of its systematic risk which reflects the sensitiv... View the full answer

Statistics The Art And Science Of Learning From Data

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