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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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