Which of A) Through D) Is FALSE

question 14

Multiple Choice

Which of a) through d) is FALSE?

• A) The systematic risk of a portfolio is measured by the standard deviation (or variance) of return on the portfolio.
• B) If two assets are perfectly correlated, then the standard deviation of a portfolio of these two assets is a simple weighted average of the standard deviations of the assets.
• C) The variance of a portfolio with N securities is calculated as a weighted average of the N² cells in the variance-covariance matrix.
• D) The standard deviation of a portfolio of assets is a simple weighted average of the expected returns of the assets.
• E) All of the above (a-c) are false.

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