求解释

问题如下：

A wealth manager is calculating the beta of a portfolio of large-cap industrial company stocks. The manager determines that the correlation between the return of the portfolio and the return of its benchmark is 0.8, the volatility of portfolio returns is 5%, and the volatility of the benchmark is 4%. What is the beta of the portfolio with respect to its benchmark?

选项：

A.

-1.00

B.

0.64

C.

0.80

D.

1.00

解释：

中文解析：

D正确。β计算如下：

β = ρ * σ(portfolio) / σ(benchmark) = 0.8 * 0.05 / 0.04 = 1.00

ρ表示相关系数，σ表示波动率（标准差）。

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D is correct. The following equation is used to calculate beta:

β = ρ * σ(portfolio) / σ(benchmark) = 0.8 * 0.05 / 0.04 = 1.00

Where ρ represents the correlation coefficient and σ the volatility.