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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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