To construct a beta mimicking portfolio,a portfolio is constructed that has:

A) a return equal to the risk-free rate
B) a beta of zero
C) a beta of one
D) identical variance to the market portfolic

Question

To construct a beta mimicking portfolio,a portfolio is constructed that has:

A) a return equal to the risk-free rate
B) a beta of zero
C) a beta of one
D) identical variance to the market portfolic

Quizplus · Accepted Answer

A mimicking portfolio attempts to match the expected return and risk characteristics of a world equity portfolio.This is achieved by selecting a portfolio that has a world equity portfolio beta of one.

To Construct a Beta Mimicking Portfolio,a Portfolio Is Constructed That