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13. Which of the following is true about normaly distributed returns a. The 20. turn distribution can be summarized with f e oer two niinet of rea Over 90% of realized returns are within one standard deviation of the mean CThe plot of realized returns over time looks like 21 the bell curve. d- There is a 50% chance realized returns are positive. Which of the following assets has the highest amount of systematic risk? a. The market portfolio b The risk-free asset 14. c. An individual stock with beta 1.5 and d. An individual stock with beta - 0.5 and standard deviation-14% standard deviation = 15% 15. Which of the following statements is true about portfolio weights? a. Each weight must be between zero and one.2 b. Portfolio weights change over time even without trading. c. Portfolio weights must be positive d. Assets with higher prices have higher portfolio weights. 16. If a stock portfolio is well diversified, then the portfolio variance: a. Will equal the variance of the most volatile stock in the portfolio. May be less than the variance of the least risky stock in the portfolio. Must be equal to or greater than the variance of the least risky stock in the portfolio. Will be a weighted average of the variances of the individual securities in the portfolio. b. c. d. 17. Which of the following indicates that a portfolio is being effectively diversified? a. Portfolio beta decreases. b. Portfolio standard deviation decreases. c. Portfolio expected return increases. d. Number of assets increases. 18. Which of the following statements is true about unexpected returns? a. Unexpected returns are always negative. b. The variance of unexpected returns represents idiosyncratic risk. The variance of unexpected returns represents systematic risk Over time, the average unexpected return is zero. c d. 19. An asset that lies above the security market line... Is overpriced. Is underpriced. Has more idiosyncratic risk than the overall market. Has less idiosyncratic risk than the overall a. b. c. d. market