An investor is evaluating the following possible portfolios. Which of the following portfolios would least likely
lie on the efficient frontier?
A) C, D, and E.
B) A, E, and F.
C) A, B, and C.
D) B, C, and F.
lie on the efficient frontier?
| Portfolio | Expected Return | Standard Deviation |
| A | 26% | 28% |
| B | 23% | 34% |
| C | 14% | 23% |
| D | 18% | 14% |
| E | 11% | 8% |
| F | 18% | 16% |
B) A, E, and F.
C) A, B, and C.
D) B, C, and F.
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Answer:D Solution:
Portfolio B cannot lie on the frontier because its risk is higher than that of Portfolio A's with lower return.Portfolio
C cannot lie on the frontier because it has higher risk than Portfolio D with lower return.Portfolio F cannot lie on the frontier cannot lie on the frontier because its risk is higher than Portfolio D.
Basic risk types,measurement and management tools