What is the value of systematic risk for a portfolio with 75% of the funds invested in A and 25% of the funds invested in B?
A) 0.98
B) 1.13
C) 1.28
D) 1.40
E) 1.60

Question

Quizplus · Accepted Answer

Systematic risk, often measured by beta, for a portfolio is a weighted average of the betas of the individual assets. Assuming the betas of A and B are given or can be calculated, the portfolio beta is 0.75 * beta of A + 0.25 * beta of B. The correct value here is 1.13, indicating the weighted average calculation.

What Is the Value of Systematic Risk for a Portfolio