Assuming the single-factor model applies,the factor beta for the market portfolio is:
A)zero.
B)one.
C)the average of the risk-free beta and the beta for the highest risk security in the portfolio.
D)impossible to calculate without collecting sample data.
E)irrelevant to the model.

Question

Quizplus · Accepted Answer

The factor beta for the market portfolio is always one in the single-factor model. This is because the market portfolio is used as the single factor in the model, and by definition, the market portfolio always has a beta of one.

Assuming the Single-Factor Model Applies,the Factor Beta for the Market