NO.PZ2022081802000059
问题如下：
Question An investor with $10,000 decides to borrow an additional $5,000 at the risk-free rate and invest all the available funds in the market portfolio. This investor’s portfolio beta is closest to:选项：
A.0.5. B.1.0. C.1.5.解释：
SolutionC is correct. The weight in the market portfolio is 15,000/10,000 = 1.5 and the weight in the risk-free asset is –5,000/10,000 = –0.5. Because the beta of the risk-free asset is 0 and the market portfolio’s beta is 1, the portfolio’s beta is βp = 0(–0.5) + 1(1.5) = 1.5.
A is incorrect because it is computed using weights of 0.5 for the risk-free asset and the market portfolio, that is: 0(0.5) + 1(0.5) = 0.5.
B is incorrect because it is the market portfolio’s beta.
