- CFA Exams
- CFA Level I Exam
- Study Session 18. Portfolio Management (1)
- Reading 52. Portfolio Risk and Return: Part I
- Subject 6. Efficient Frontier
CFA Practice Question
The minimum-variance zero-beta portfolio most likely has some ______.
B. unsystematic risk and no systematic risk
C. systematic risk and no unsystematic risk
A. systematic and unsystematic risk
B. unsystematic risk and no systematic risk
C. systematic risk and no unsystematic risk
Correct Answer: B
Specifically within the set of feasible alternative portfolios, several portfolios exist where the returns are completely uncorrelated with the market portfolio; the beta of these portfolios with the market portfolio is zero. From among the several zero-beta portfolios, you would select one with minimum variance. This portfolio does not have any systematic risk (beta = 0), but it does have some unsystematic risk.
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