Which of the following statements about the minimum-variance portfolio of all risky securities is valid? (Assume short
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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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