Question: A security held in a large, well-diversified portfolio that has a beta of zero in a one-factor model will have an actual return: closely equal

A security held in a large, well-diversified portfolio that has a beta of zero in a one-factor model will have an actual return:

closely equal to the expected return

of zero.

closely equal to the market risk premium.

that is positive and less than the risk-free rate.

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