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【FRM每日一题】一级:风险管理&定量

【FRM每日一题】一级:风险管理&定量

备考FRM一级  |  2015-12-10

  Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.75, the volatility of the return of the benchmark is 3%, and the volatility of the return of the portfolio is 4%. What is the beta of the portfolio?

  A.1.00

  B.0.56

  C.0.75

  D.-1.00

  Answer: A

  

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