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Determination of the optimal risky portfolio

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Reference no: EM132596212

Please comment the following statement

1) The expected return of zero beta security is smaller than risk free rate.

2) According to CAPM, the higher the variance, the higher the expected return.

3) As diversification increases, the systematic risk of a portfolio approaches zero.

4) Analysts may use regression analysis to estimate the index model for a stock. When doing so, the slope of the regression line is an estimate of the beta of the asset.

5) According to the separation property, the determination of the optimal risky portfolio depends on personal preference.

6) A less risk-averse investor has a steeper indifference curve for the utility function. (5 marks)

 

Reference no: EM132596212

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