I hope you are fine.
I have a small question about one question from the CFA practice problems from the reading 51. There is one correction that I consider as incorrect, here it is:
Which of the following statements is least accurate? The efficient frontier is the set of all attainable risky assets with the:
A highest expected return for a given level of risk.
B lowest amount of risk for a given level of return.
C highest expected return relative to the risk-free rate.
The correct answer being answer C.
However in my option, answer B is equally incorrect because that’s the definition of the minimum variance frontier and not of the (Markowitz) efficient frontier. Everything below the global minimum variance frontier shouldn’t be considered as part of the efficient frontier because a rational investor wouldn’t invest in them.
If someone could help me understand why I am correct, I would be really grateful!