Which of the following statements about the minimum variance portfolio of all risky securities are valid? (Assume

Question:

Which of the following statements about the minimum variance of all risky securities are valid? (Assume short sales are allowed.) Explain.
a. Its variance must be lower than those of all other securities or portfolios.
b. Its can be lower than the risk- free rate.
c. It may be the optimal risky
d. It must include all individual securities.
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