Which One of the Following Statements Is Correct Concerning a Portfolio

question 319

Multiple Choice

Which one of the following statements is correct concerning a portfolio which consists of a risk-free asset and four stocks with individual betas of 1.1, 1.4, 1.5, and 1.8?

• A) The beta of the portfolio must be greater than 1.0.
• B) The expected return on the portfolio is equal to the market rate of return.
• C) The portfolio can have more than, less than, or the same amount of systematic risk as the market.
• D) A portfolio comprised of these five securities will eliminate all of the diversifiable risk.
• E) The risk of the portfolio must be less than the market level of risk.

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Definitions:

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