Assuming that the single factor APT model applies, the 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.
D)impossible to calculate without collecting sample data.
E)None of the above.

Question

Quizplus · Accepted Answer

In the single factor APT model, the beta for the market portfolio is always assumed to be equal to one. This is because the only systematic factor included in the model is the market factor and the market portfolio is used as a proxy for this factor.

Assuming That the Single Factor APT Model Applies, the Beta