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A Completely Diversified Portfolio Would Have a Correlation with the Market

Question 98

Multiple Choice

A completely diversified portfolio would have a correlation with the market portfolio that is


A) equal to zero because it has only unsystematic risk.
B) equal to one because it has only systematic risk.
C) less than zero because it has only systematic risk.
D) less than one because it has only unsystematic risk.
E) less than one because it has only systematic risk.

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