Which of the following is/are TRUE? 1. The beta of the market portfolio is 0. II....
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Which of the following is/are TRUE? 1. The beta of the market portfolio is 0. II. The systematic (market) risk is diversifiable, and the unsystematic risk is non- diversifiable. III. Assume that capital asset pricing model holds. Then, a security whose expected return falls above the SML (security market line) indicates that the security is undervalued, whereas a security whose expected return falls below the SML indicates that the security is overvalued. I and III II and III I and II Il only I only Which of the following is/are TRUE? 1. The beta of the market portfolio is 0. II. The systematic (market) risk is diversifiable, and the unsystematic risk is non- diversifiable. III. Assume that capital asset pricing model holds. Then, a security whose expected return falls above the SML (security market line) indicates that the security is undervalued, whereas a security whose expected return falls below the SML indicates that the security is overvalued. I and III II and III I and II Il only I only
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