The correlation coefficient between the efficient portfolio and the risk-free asset is
A)+1.0.
B)−1.0.
C)0.0.
D)Further information is needed.

Name: The correlation coefficient between the efficient portfolio and the risk-free asset is A)+1.0. B)−1.0. C)0.0. D)Further information is needed.
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Question

Quizplus · Accepted Answer

The risk-free asset has zero correlation with any asset, including the efficient portfolio. Therefore, the correlation coefficient between the efficient portfolio and the risk-free asset is 0.0.

The Correlation Coefficient Between the Efficient Portfolio and the Risk-Free