If a Large Number of Diverse Securities Are Added to a Portfolio

Multiple Choice

If a large number of diverse securities are added to a portfolio comprised of three stocks,then the:

A) weighted average expected return goes to zero.
B) weighted average of the factor betas goes to zero.
C) weighted average of the unsystematic risk goes to zero.
D) return of the portfolio must equal the market rate of return.
E) return of the portfolio will equal the risk-free rate.