習題：
　　Exercise：
　　Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of the portfolio is 5%, and the volatility of the return of the benchmark is 4%. What is the beta of the portfolio?
　　A. 1.00
　　B. 0.64
　　C. 0.80
　　D. -1.00
　　解析：
　　Answer: A
 
　　Explanation:
　　知識點：
　　Diversifiable and Undiversifiable Risk
　　Diversifiable risk is the risk that disappears in a well-diversified portfolio. The part of the volatility of a single security’s returns that is uncorrelated with the volatility of the market portfolio is that security’s diversifiable risk. Synonyms for diversifiable risk are unsystematic risk or security-specific risk.
　　The risk that cannot be eliminated through diversification is called undiversifiable risk. The part of an individual security’s risk that arises because of the positive covariance of that security’s returns with overall market returns is called its systematic risk. Synonyms for undiversifiable risk are systematic risk, beta risk. A standardized measure of systematic risk is beta:
 

 
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