My non-CFA candidate friend needs help on this problem for class. Frankly the question seems terribly written. There is no further information provided other than what is here: If the standard deviation of the return of a portfolio is 30% , what is the beta of this portfolio if the diversifiable risk of this portfolio is half of its total risk and the market standard deviation is 25%? A. 1.00 B. 0.50 C. 0.85 D. 1.20
i would g for D. std deviation of the portifolio of 30% is higher than mkt std deviation so it means the portifolio has a higher beta than 1(mkt beta). B and C are all less than mkt beta so my only option is D
I would agree with Audrey…I feel like I could be missing something, but I think her logic makes sense.