To Identify the Tangency Portfolio

Multiple Choice

To identify the tangency portfolio:

A) we must find the portfolio that has a covariance with each asset that is a constant proportion of the asset's risk premium.
B) we must find the portfolio that has a covariance with each asset that is a constant proportion of the asset's mean variance.
C) we must find the portfolio that has a correlation with each asset that is a constant proportion of the asset's standard deviation.
D) we must find the portfolio that has a covariance with each asset that is a constant proportion of the risk free rate.