Diversified portfolio with a very large number of securities

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Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds. If the standard deviation of your portfolio was 42% and the standard deviation of the market was 18%, what would be your estimate of the beta of the portfolio? Hint: Note that a well-diversified portfolio will have a firm-specific variance and a residual standard deviation = 0%. Enter your answer rounded to two decimal places. For example, if your answer is 12.345 then enter as 12.35 in the answer box.

Reference no: EM131458544

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