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Suppose the standard deviation of the market return is 15%. a. What is the standard deviation of returns on a well-diversified portfolio with a beta of 8? (Enter your answer as a percent rounded to the nearest whole number) Standard deviation b. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0? (Enter your answer as a percent rounded to the nearest whole number.) Standard deviation c. A well-diversified portfolio has a standard deviation of 10%, what is its beta? (Round your answer to 2 decimal places.) Beta d. A poorly diversified portfolio has a standard deviation of 15%, what can you say about its beta? (Click to seleet
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Answer #1

Beta=standard deviation of portfolio/standard deviation of market

A.

0.8= std. Dev of portfolio/0.15

Std. Dev of portfolio=0.15*0.8=0.12=12%

Answer = 12%

B.

Answer = 0%

C.

Beta=std. Dev of portfolio/std. Dev of market

=10%/15%=0.67

Answer=0.67

D.

Answer beta=1

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