Theoretically, a Risk-Free Portfolio Could Be Created by Combining Risky

Multiple Choice

Theoretically, a risk-free portfolio could be created by combining risky securities in a manner that caused the:

A) Portfolio standard deviation to equal one.
B) Expected return of the portfolio to equal the market expected return.
C) Portfolio beta to equal zero.
D) Risk premium to equal one.
E) Nondiversifiable risk to be eliminated.