Portfolio Risk and Return - Schweser Question Bank

CFA Level I Portfolio Management
#1

Which of the following statements best describes an investment that is not on the efficient frontier? A. There is a portfolio that has a lower risk for the same return.

B. The portfolio has a very high return.

C. There is a portfolio that has a lower return for the same risk.

Schweser says the correct option is A. I think it should be C. Do let me know why it should be A.

#2

The efficient frontier is the set of “best” portfolios - those that have the least risk (standard deviation) for a given expected return. So if a portfolio is NOT on the EF, it DOESN’T have the lowest possible risk for a given expected return (if it did, by definition, it would be on the EF). C MIGHT possibly hold, but A holds by definition.