Question

Which of the following statements is (are) false? Question options:

a. All mean-variance efficient portfolios are combinations of the market portfolio and the risk-free asset

b. If two mean-variance efficient portfolios are combined, the result is a mean-variance efficient portfolio

c. If the market portfolio is the tangency portfolio, then the relationship between risk and return is best described as parabolic

d. All of the above are true statements

Answer #1

Which of the following statements is (are) false? Question
options:
a. All mean-variance efficient portfolios are combinations of
the market portfolio and the risk-free asset
b. If two mean-variance efficient portfolios are combined, the
result is a mean-variance efficient portfolio
c. If the market portfolio is the tangency portfolio, then the
relationship between risk and return is best described as
parabolic
d. All of the above are true statements
(already picked "b" and it was wrong).

Which of the following statements is false?
Question 11 options:
a
The portfolio that contains all shares of all stocks and
securities in the market is called the efficient portfolio.
b
Systematic risk cannot be eliminated through
diversification.
c
A portfolio that contains only systematic risk is called an
efficient portfolio.
d
Volatility measures total risk, while beta measures only
systematic risk.
e
None of the above.

Which of the following statements regarding a portfolio of two
risky assets (with almost equal weights) is true?
A.
For this portfolio, if investors do not invest in a risk-free
asset, the feasible set simply includes the upward curve starting
from the global minimum variance portfolio.
B.
A portfolio without a risk-free asset cannot earn a higher
return than a portfolio with risk-free assets if these two
portfolios have the same risk.
C.
If investors invest in a risk-free asset,...

Question 2 : Which of the following statements is false?
A significant fraction of investors might care about aspects of
their portfolios other than expected return and volatility, and so
would be unwilling to hold inefficient investment portfolios.
Although the true market portfolio of all invested wealth might
be efficient, the proxy portfolio might not track the actual market
very well.
We might be using the wrong proxy portfolio when we calculate
alphas.
The true market portfolio consists of all...

18. Which of the following statements about the minimum variance
portfolio of all risky securities are valid? (Assume short sales
are allowed.)
i. Its variance must be lower than those of all other securities
or portfolios.
ii. Its expected return can be lower than the risk-free
rate.
iii. It may be the optimal risky portfolio.
iv. It must include all individual securities.
19. Assume that expected returns and standard deviations for all
securities (including the risk-free rate for borrowing and...

Which of the following statements is incorrect
regarding Risk Parity portfolios and Risk Allocated portfolios?
A) Risk Parity portfolio ensure that the marginal contribution
to risk is equal for each asset in the portfolio. Risk allocated
portfolios ensure that investments with the highest risk have the
highest allocation.
B) Both allocation methods allocate risk based on a
pre-determined basis.
C) Once portfolios are constructed based on either
methodologies, one methodology may result in a more efficient
allocation than the other....

Which of the following statement is FALSE? Group of answer
choices
When using all risky assets available in the market in the
market and the risk-free asset to form portfolio, we find that all
efficient portfolios are on the Capital Market Line (CML).
If the CAPM holds, then all assets will graph on the Security
Market Line (SML).
If an asset graph above the SML, then this asset is under-priced
according to the CAPM.
Portfolios on the Capital Market Line...

Calculate the missing
values for the following four efficient portfolios. The expected
return on the market is 7
percent, with a
standard deviation of 3 percent, and the risk-free rate is 2
percent.
Portfolio
Weight in Risk-free
Asset
Expected Portfolio
Return
Portfolio Standard
Deviation
A
15%
6.25%
B
30%
5.50%
C
45%
4.75%
D
60%
4.00%
E
75%
3.25%

When the CAPM assumptions hold, which of the following
statements is FALSE?
a) The capital market line goes through a risk-free asset
b) The capital market line goes through the market portfolio
c) The efficient frontier goes through a risk-free asset
d) The security market line goes through the market
portfolio

True/False. The optimal combination of risky assets corresponds
to the point of tangency between a graph of all efficient portfolio
combinations of two assets and a line which begins at the risk-free
rate along the y-axis of the graph.

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