16,4N -2.784 CornPFEMRK-0.50 CA TRUE CB FALSE is a function 20 The standard deviation of a portfolio that consists weight and standard deviation of the risk asset M mora portfolio that consists of a risky asset, M, and a risk free asset, US T B CA True C 8 False 21 Choose the following the statement about MPT CA There is es no limit to diversification in morfolie theory you can obtain zero risk quite easily CB Diversifying portfolios will guarentee lower risk portfolios. Diversification can reduce portfolio risk best with positive co cation can reduce portfolio risk best with positive correlation coefficients - Diversifying portfolios can decrease portfolio risk to a certain level 22 Which of the following is true about CAPM and APT La security's expected retur y expected return and risk are can be explained by multiple sources of systematic risk in APT IL CAPM assumes all asset returns are explain by only the market factor m. MultiFactor APT return on security is equal return on city is equal to the ape r ty w for security of Factor 1 Factor 1 error term V. CAPM return on writy is equal to the r e ade r the difference between the marker return and then V. CAPM is not related to APT in any way CA 1, CB.1.1,V,V CCTV CD. V.IV,11,1 23 Your client requests a portfolio of Intel and Coca-Cola, Intel's volatility is SO a correlation coefficient of 0.20 Can you create a 2-asset portfolio that has a lower volatility than the assets in isolation? and Coca-Cola's volatility is 25%. You cake CA Yes, if we choose the weights properly, we can achieve a portfolio with volatility lower than the volatil of the assets in isolation CB. No, no matter the weights we cannot achieve a portfolio with volatility lower than the volatility of the assets in isolation