Which of the following statements is FALSE?
A) The beta of a portfolio is the weighted average beta of the securities in the portfolio.
B) By holding a negative-beta security, an investor can reduce the overall market risk of her portfolio.
C) The expected return of a portfolio should correspond to the portfolio's beta.
D) Graphically, the line through the risk-free investment and the market portfolio is called the capital market line (CML) .
Correct Answer:
Verified
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