Concerning the riskiness of a portfolio of two securities, using the Markowitz model, select the false statement.
A) The riskiness depends on the variability of the securities.
B) The riskiness depends on the percentage of portfolio assets invested in each security.
C) The riskiness depends on the expected return of each security.
D) The riskiness depends on the amount of correlation among the security returns.

Question

Quizplus · Accepted Answer

The riskiness of a portfolio in the Markowitz model primarily depends on the variability (volatility) of the securities, the percentage of portfolio assets invested in each security, and the correlation among the security returns. The expected return of each security affects the portfolio's expected return but not directly its riskiness.

Concerning the Riskiness of a Portfolio of Two Securities, Using