CFA Practice Question

CFA Practice Question

Which of the following portfolios will most likely have zero systematic risk?
A. A portfolio invested in a single stock.
B. The minimum variance zero-beta portfolio.
C. A portfolio lying on the CML between the riskless asset and the market portfolio.
Explanation: A portfolio invested in a single stock may have zero systematic risk, but the zero-beta portfolio definitely has zero systematic risk. A portfolio lying on the CML between the riskless asset and the market portfolio has a non-zero weight on the market portfolio and hence non-zero systematic risk.

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