The correlation coefficient between the market return and a risk-free asset would
A)be +$\infty$.
B)be -$\infty$.
C)be +1.
D)be -1.
E)be Zero.

Question

Quizplus · Accepted Answer

The correlation coefficient between the market return and a risk-free asset would be zero because the risk-free asset has no variability in its return, and therefore, it would not be affected by any changes in the market return.

The Correlation Coefficient Between the Market Return and a Risk-Free ∞\infty∞

The Correlation Coefficient Between the Market Return and a Risk-Free $\infty$