Question: explain why you might expect stocks to have nonzero alphas if the market proxy portfolio is not highly correlated with the true market portfolio, even

explain why you might expect stocks to have nonzero alphas if the market proxy portfolio is not highly correlated with the true market portfolio, even if the true market portfolio is efficient. Question content area bottom Part 1 Because the proxy portfolio is not highly correlated with the market portfolio, it will not will capture none of the some all of the components of diversifiable systematic risk. The alphas reflect the risk components that the proxy portfolio is not is capturing. (Select from the drop-down menus.)

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