A portfolio with a level of systematic risk is the same as that of the market has a beta that is
A) equal to zero.
B) equal to one.
C) less than the beta of the risk-free asset.
D) less than zero.

Question

Quizplus · Accepted Answer

A portfolio with the same systematic risk as that of the market will have a beta of 1, which is the same as the market's beta. Options A, C, and D are incorrect because the beta cannot be zero or negative, and it cannot be less than the beta of the risk-free asset, which has a beta of zero.

A Portfolio with a Level of Systematic Risk Is the Same