alleryStart learning →A zero-beta portfolio in Black's CAPM is one that has
Ano risk of any kind
Bthe highest return
Ca beta equal to two
Dno link to the market
Answer & Solution
Correct answer: D. no link to the market
A zero-beta portfolio is uncorrelated with the market, so it carries no systematic risk.
Keep practising Modern Portfolio Theory
Browse all Modern Portfolio Theory questions for CA Final, or explore more Strategicfinancialmanagement topics.
Related questions
Investors who want higher expected returns in MPT must acceptThe risk-free rate is 6%, the market return 12% and a stock has expected return 10% with bWhich statement best describes MPT's idea of diversification?In CAPM, the beta used for pricing mainly capturesThe t-statistic of the Sharpe ratio equals the ratio times the square root ofBerkshire Hathaway's Sharpe ratio for 1976 to 2017 was reported asThe Sharpe ratio can be manipulated when a fund holds illiquid assets because ofThe ex-post Sharpe ratio is computed using