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Which of the following is false about the Zero-beta CAPM? A) The portfolio (Z) has zero systematic risk and is known as the zero-beta portfolio

Which of the following is false about the Zero-beta CAPM?

A) The portfolio (Z) has zero systematic risk and is known as the zero-beta portfolio

B) It is not a minimum-variance portfolio

C) It provides a lower zero-beta expected return of rz

D) rz (return on Z) is lower than rm (return on market portfolio M)

E) Z lies below the mean-variance frontier

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