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Assume investors hold the market portfolio. Rank the following four securities based on their relative risk contributions to the market portfolio, with the one that

Assume investors hold the market portfolio. Rank the following four securities based on their relative risk contributions to the market portfolio, with the one that will contribute the least risk first.

Security

Expected

return

Standard

deviation

Beta

A

13.2%

3.4%

0.8

B

18.6%

6.8%

1.4

C

15.0%

7.0%

1.0

D

14.1%

5.8%

0.9

A) A, D, C, B

B) A, D, B, C

C) D, A, B, C

D) C, B, A, D

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