A Portfolio Is Comprised of Five Securities That Have Individual

question 7

Multiple Choice

A portfolio is comprised of five securities that have individual betas of 1.38,.87,1.02,1.49,and .67.You do not know the portfolio weight of each security.What do you know with certainty?

• A)The portfolio beta will not be affected by any change in the portfolio weights.
• B)The portfolio beta will not change if an additional security with a beta of 1 is added to the portfolio.
• C)The portfolio beta will be greater than the market beta.
• D)The portfolio beta will be less than 1.49 and greater than .67.
• E)The optimal portfolio beta for any investor must be greater than 0 and less than 1.