1.Given the estimation challenges in determining the maximum Sharpe ratio portfolio (MSR) in practice, the Global Minimum Variance portfolio (GMV) is often used as a starting point for analysis of efficient portfolios. Select the following statement that is most correct and explain why:

a.The GMV portfolio does not require knowledge of expected returns in the calculation of portfolios weights removing the biggest source of estimation error

b.Typically, the GMV portfolio performs better than a cap weighted index in backtesting, but not much better than the nave equally weighted portfolio (EW)

c.By imposing a minimum constraint on its "effective number of components" (ENC), the GMV portfolio can perform significantly better than the EW portfolio

d.The GMV portfolio will, in fact, be the theoretical MSR portfolio in the case where the expected returns for all securities are the same

e.All of the above statements are equally correct