3. Which of the following statements about the minimum variance portfolio of all risky securities are valid?

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3. Which of the following statements about the minimum variance portfolio of all risky securities are 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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Investments

ISBN: 9780077261450

8th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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