Which One of the Following Statements Is Correct Concerning a Portfolio

question 30

Multiple Choice

Which one of the following statements is correct concerning a portfolio beta?

• A) Portfolio betas range between −1.0 and +1.0.
• B) A portfolio beta is a weighted average of the betas of the individual securities contained in the portfolio.
• C) A portfolio beta cannot be computed from the betas of the individual securities comprising the portfolio because some risk is eliminated via diversification.
• D) A portfolio of U.S. Treasury bills will have a beta of +1.0.
• E) The beta of a market portfolio is equal to zero.

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