Question
What is the beta of a security that has a return standard deviation twice the volatility of the standard deviation of the market return, and
What is the beta of a security that has a return standard deviation twice the volatility of the standard deviation of the market return, and whose return is uncorrelated with the market return? Assume the return standard deviation of the stock market is 23%.
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International Finance Theory and Policy
Authors: Paul R. Krugman, Maurice Obstfeld, Marc J. Melitz
10th edition
978-0133425895, 133425894, 978-0133423631, 133423638, 978-0133423648
