Question

The efficient frontier of risky assets is i) the portion of the investment opportunity set that...

The efficient frontier of risky assets is

i) the portion of the investment opportunity set that lies above the global minimum variance portfolio.

ii) the portion of the investment opportunity set that represents the highest standard deviations.

iii) the portion of the investment opportunity set which includes the portfolios with the lowest standard deviation.

iv) the set of portfolios that have zero standard deviation.

Group of answer choices

(i)

(iv)

(ii)

(i) and (ii) are true.

(iii)

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Answer #1

Portfolios on the efficient Frontier are those providing the greatest expected return for a given amount of risk. Those portfolio who are lying above global minimum variance portfolio are only fulfilling this criteria. Hence, Efficient Frontier of risky assets will be the proportion of the investment opportunities set that lies above the global minimum variance portfolio.

All the other statements are false.

Correct answer will be option (i)the portion of the investment opportunity set that lies above the global minimum variance portfolio.

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