QUESTION 11 Which of the following statements is CORRECT? O The beta of a portfolio of stocks is always smaller than the betas of any of the individual stocks. O It is theoretically possible for a...

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Extracted text: QUESTION 11 Which of the following statements is CORRECT? O The beta of a portfolio of stocks is always smaller than the betas of any of the individual stocks. O It is theoretically possible for a stock to have a beta of 1.0. If a stock did have a beta of 1.0, then, at least in theory, its required rate of return would be equal to the risk-free (default-free) rate of return, Rf. O If you found a stock with a zero historical beta and held it as the only stock in your portfolio, you would by definition have a riskless portfolio. O The security market line is a graph of the expected return of a stock as a function of systematic risk (beta). O The beta of a portfolio of stocks is always larger than the betas of any of the individual stocks in the portfolio.