Reddit

Q.188 An asset has a standard deviation of 30% and 0.8 as its correlation coefficient of returns with the market index. Given that the standard deviation of the market return is 20%, calculate the asset's beta. | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

The correct answer is D.

The formula for calculating the beta for stock i is:

\beta_i = \rho_{i,m} \left( \frac{\sigma_i}{\sigma_m} \right)

Where i is the stock and m is the market.

Thus,

\beta_i = 0.8 \left( \frac{0.3}{0.2} \right) = 1.2

Comments (0)

No comments yet.

Financial Risk Manager Part 1

Get started today

Comments (0)

Get started today

Q.188 An asset has a standard deviation of 30% and 0.8 as its correlation coefficient of returns with the market index. Given that the standard deviation of the market return is 20%, calculate the asset's beta.

Comments (0)