Which of the Following Statements Is Correct

question 65

Multiple Choice

Which of the following statements is correct?

• A) If the returns from two shares are perfectly positively correlated and the two shares have equal variance, an equally weighted portfolio of the two shares will have a variance which is less than that of the individual shares.
• B) If a share has a negative beta, its expected return must be negative.
• C) According to the CAPM, shares with higher standard deviations of returns will have higher expected returns.
• D) A portfolio with a large number of randomly selected shares will have less market risk than a single share with has a beta equal to 0.5.
• E) None of the above statements are correct.