Which of the following statements about the minimum-variance portfolio of all risky securities is valid? (Assume short sales are allowed.) Explain.a. Its variance must be lower than those of all other securities or portfolios.b. Its expected return can be lower than the risk-free rate.c. It may be the optimal risky portfolio.d. It must include all individual securities.
Which of the following statements about the minimum-variance portfolio of all risky securities is valid? (Assume short sales are allowed.) Explain.a. Its variance must be lower than those of all other securities or portfolios.b. Its expected return can be lower than the risk-free rate.c. It may be the optimal risky portfolio.d. It must include all individual securities.
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 21P
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Which of the following statements about the minimum-variance portfolio of all risky securities is valid? (Assume short sales are allowed.) Explain.
a. Its variance must be lower than those of all other securities or portfolios.
b. Its expected return can be lower than the risk-free rate.
c. It may be the optimal risky portfolio.
d. It must include all individual securities.
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