A Security Held in a Large,well-Diversified Portfolio That Has a Beta

Multiple Choice

A security held in a large,well-diversified portfolio that has a beta of zero in a one-factor model will have an actual return:

A) of zero.
B) closely equal to the market risk premium.
C) closely equal to the expected return.
D) that is positive and less than the risk-free rate.
E) that is less than the risk-free rate and can be negative.