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The beta of an efficient portfolio: Answers: a. is proportional to 1, depending on the proportion invested in the market portfolio. b. must be 1

The beta of an efficient portfolio:

Answers: a.

is proportional to 1, depending on the proportion invested in the market portfolio.

b.

must be 1 since an efficient portfolio is perfectly positively correlated with the market portfolio.

c.

is equivalent to the portfolio's standard deviation, since standard deviation is the measure of risk for an efficient portfolio.

d.

is always less than 1.

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