题目
Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of the portfolio is 5%, and the volatility of the return of the benchmark is 4%. What is the beta of the portfolio?
选项
A.1.00
B.0.80
C.0.64
D.-1.00
答案
A
解析
The following equation is used to calculate beta:「huixue_img/importSubject/1564170578531848192.png」