QUESTION 12. Which of the following would increase a portfolios systematic risk?

I. Common stock is sold and replaced with Treasury bills

II. Stocks with a beta equal to the market are added to a portfolio of Treasury bills

III. Low-beta stocks are sold and replaced with high-beta stocks

a. I only b. II only c. III only d. I and II only e. II and III only

The introduction of securities in a portfolio with betas bigger or equal than 1 will always increase systematic risk?

And will the replacement of a stock with a stock that has a higher beta increase the systematic risk of the portfolio? vice versa