The systematic risk is diversifiable

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Reference no: EM13826245

Which of the following is/are FALSE?

I. The systematic risk is diversifiable.

II. The efficient portfolios provide the highest possible return for a given level of risk (i.e., for a given standard deviation).

III. With the ability to borrow and lend at the risk-free rate, there is one BEST efficient risky portfolio to hold, the tangency portfolio (identified by the tangent point of the capital market line and the efficient frontier).

Reference no: EM13826245

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