Question: A security with a beta of zero must have returns that: I. Are uncorrelated to the market II. Are independent from the market III. Have

A security with a beta of zero must have returns that: I. Are uncorrelated to the market II. Are independent from the market III. Have expected return equal to the risk-free rate IV. Have variance of zero A) I, II B) I, III C) I, II, III D) I, II, III, IV

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