Stocks with a beta equal to the market beta are added to a portfolio of Treasury bills would increase a portfolio's systematic risk.

Question

Quizplus · Accepted Answer

Stocks with a beta equal to the market beta (which is 1) have the same systematic risk as the market. Adding them to a portfolio of Treasury bills, which have virtually no systematic risk, would increase the portfolio's overall systematic risk.

Stocks with a Beta Equal to the Market Beta Are