Increase the systematic risk of a portfolio


Which one of the following actions will tend to increase the systematic risk of a portfolio?

The sale of U.S. Treasury bills and an offsetting purchase of a stock with a beta of 0.21

The sale of U.S. Treasury bills with the proceeds held in cash

The sale of a stock with a beta of .67 and an offsetting purchase of U.S. Treasury bills

The sale of high-beta stock and an offsetting purchase of a low-beta stock

The sale of a stock with the proceeds held in cash

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Finance Basics: Increase the systematic risk of a portfolio
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