Which ones of the following statements about portfolio beta are correct? O 1. If portfolio beta is between 0 and 1, then the portfolio expected return is between risk-free rate and the market expected return. O 2. If the return of an asset has zero correlation with the market portfolio returns, the beta of this asset must be zero. O 3. A portfolio that has the same portfolio weights as the market portfolio should have a beta of 1. 04. Diversification is not a way to reduce portfolio beta. O 5. If two portfolios have the same portfolio weights, but different dollar values, their betas are the same.
Which ones of the following statements about portfolio beta are correct? O 1. If portfolio beta is between 0 and 1, then the portfolio expected return is between risk-free rate and the market expected return. O 2. If the return of an asset has zero correlation with the market portfolio returns, the beta of this asset must be zero. O 3. A portfolio that has the same portfolio weights as the market portfolio should have a beta of 1. 04. Diversification is not a way to reduce portfolio beta. O 5. If two portfolios have the same portfolio weights, but different dollar values, their betas are the same.
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 6P
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