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Question:

Consider the following statements:
Statement 1: A portfolio on the minimum variance frontier may have a positive or negative weight on the risk‐free asset.
Statement 2: An investor with a negative risk-aversion coefficient would have an indifference curve with a negative slope.
Which of the following is most likely?

A Only one statement is correct.
Explaination

Any portfolio on the minimum variance frontier only contains risky assets. The weight of the risk‐free asset is zero.
A risk‐averse investor has a negative risk aversion coefficient. Because utility increases with risk and return, the indifference curve for a risk‐averse investor has a negative slope.