NO.PZ2023090501000013
问题如下：
Question An investment analyst is calculating the beta of a portfolio of large-cap utility company stocks. The analyst determines that the correlation between the return of the portfolio and the return of its benchmark is 0.7, the volatility of portfolio returns is 6.5%, and the volatility of the benchmark returns is 5.0%. What is the beta of the portfolio with respect to its benchmark?
选项：
A.-0.91
B.0.64
C.0.80
D.0.91
解释：
Explanation D is correct. The following equation is used to calculate beta:
where ρ represents the correlation coefficient and σ the volatility.
Section Foundations of Risk Management
Learning Objective Understand the derivation and components of the CAPM.
Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 5. Modern Portfolio Theory and the Capital Asset Pricing Model.
