Multiple Choice
Which one of the following statements is correct concerning a portfolio which consists of a risk-free asset and four stocks with individual betas of 1.1, 1.4, 1.5, and 1.8?
A) The beta of the portfolio must be greater than 1.0.
B) The expected return on the portfolio is equal to the market rate of return.
C) The portfolio can have more than, less than, or the same amount of systematic risk as the market.
D) A portfolio comprised of these five securities will eliminate all of the diversifiable risk.
E) The risk of the portfolio must be less than the market level of risk.
Correct Answer:
Verified
Correct Answer:
Verified
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