Which of these statements related to optimal portfolios are true?

Check all that apply. One wrong answer cancels one correct answer.

a. A single-index model assumes that there are no events that can affect only one industry.

b. If security A has an alpha of 1% and security B an alpha of 2%, the optimal portfolio will necessarily have more money invested in B than A.

c. The performance of an active portfolio manager always depends on the performance of the overall stock market.

d. The only way for an active portfolio manager to beat the market is by buying securities with a positive alpha.

e. A passive investment strategy is less costly than an active investment strategy because it does not require as much investment analysis.