Quiz Consider the combinations of a given risky portfolio and a risk-free asset. Which of the following is not true about the capital allocation of y into the risky portfolio and the remaining (1-y) into the risk-free asset? Try 1 Select one: A. the risk premium of the portfolio is directly proportional to y. B. the variance of the portfolio increases with a lower value of y. C. a zero-risk portfolio can be formed by setting y = 0. D. the expected return of the portfolio when y = 0 is the risk-free rate. Mu Qu 8 16 Cald Next page 21 e 29 3