11. A portfolio contains equal weights of two securities that have the same
standard deviation. If the correlation between the returns of the two
securities was to increase, the portfolio risk would most likely:
remain the same.
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12. The set of risky portfolio that give the highest return at each level of risk will
most likely lie on the:
capital allocation line.
security market line.
13. The capital allocation line (CAL) dominates the efficient frontier because of
the ability of the investor to:
invest in the risk-free asset.
invest in market portfolio.
invest in a zero-beta asset.
14. Which of the following in combination with the risk-free asset forms the
dominant capital allocation line?
global minimum-variance portfolio.
optimal risky portfolio.
levered portfolio of risky assets.
15. Which of the following portfolios will most likely lie at the point of tangency
between the capital allocation line and the efficient frontier of
Optimal investor portfolio.
Global minimum variance portfolio.
Optimal risky portfolio.
UGC NET PAPER 1
UGC NET Management
UGC NET COMPUTER SCIENCE
UGC NET COMMERCE
GATE COMPUTER SCIENCE
CFA Level 1
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