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S is an efficient portfolio with volatility of return equal to that of the market portfolio....

S is an efficient portfolio with volatility of return equal to that of the market portfolio. What is the beta and the idiosyncratic volatility of portfolio S?

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Expert Solution

If it is an efficient portfolio then it will mean that the beta of the portfolio will be equal to 1, which is equalling the market portfolio.

when we will be calculating the idiosyncratic volatility of the portfolio there will not be any kind of idiosyncratic volatility of the portfolio as all the unsystematic risk have already been eliminated because it is an efficient portfolio and all the risk associated with the portfolio is of market volatility. Idiosyncratic volatility of portfolio is 0.

jeff jeffy answered 2 years ago
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