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If a Market Proxy Portfolio Consistently Beats All Professionally-Managed Portfolios

Question 2

Multiple Choice

If a market proxy portfolio consistently beats all professionally-managed portfolios on a risk-adjusted basis, it may be concluded that


A) the CAPM is valid.
B) the market proxy is mean/variance efficient.
C) the CAPM is invalid.
D) the CAPM is valid and the market proxy is mean/variance efficient.

Correct Answer:

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