A particular portfolio has an expected return that is unaffected by the state of the economy. The variance of this portfolio must
A) Be negative
B) Be less than 1
C) Be greater than 1
D) Be equal to 1
E) Be equal to 0

Question

Quizplus · Accepted Answer

Since the expected return is unaffected by the state of the economy, there is no variability in the returns of the portfolio, which means the variance of the portfolio is equal to zero.

A Particular Portfolio Has an Expected Return That Is Unaffected