In a Portfolio of Three Randomly Selected Stocks, Which of the Following

question 68

Multiple Choice

In a portfolio of three randomly selected stocks, which of the following could NOT be true; i.e., which statement is falseσ

• A) the standard deviation of the portfolio is greater than the standard deviation of one or two of the stocks.
• B) the beta of the portfolio is lower than the lowest of the three betas.
• C) the beta of the portfolio is equal to one of the three stock's betas.
• D) the beta of the portfolio is equal to 1.
• E) the standard deviation of the portfolio is less than the standard deviation of each of the stocks if they were held in isolation.

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