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Which of the following would likely have the greatest amount of systematic risk?

a. A portfolio of the common stocks of 100 randomly-selected companies.
b. The market portfolio.
c. A portfolio half invested in the market portfolio and half invested in Treasury bills.
d. A portfolio half invested in the market portfolio and half invested in stocks with betas = 1.50.

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Answer: B

Explanation: The market portfolio, often represented by a broad market index like the S&P 500, is considered to have the greatest amount of systematic risk because it reflects the overall market fluctuations. Systematic risk, also known as market risk, is the risk that cannot be diversified away and is inherent to the entire market. Therefore, the market portfolio, representing the entire market, is exposed to the highest level of systematic risk.

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