Final answer:
The T-bill has a beta of zero, indicating no systemic risk, while the market portfolio's beta is one, representing the market's risk profile. The correct answer is c) Zero; one.
Step-by-step explanation:
The T-bill has a beta equal to zero, while the market portfolio's beta is equal to one. This means that T-bills do not have any systemic risk as they are considered risk-free securities. In comparison, the market portfolio has a beta of one because it is composed of a broad range of assets and typically represents the overall market's risk and return characteristics. Therefore, the correct answer to the student's question is c) Zero; one. Since the market portfolio includes all investable assets, any individual asset's beta is measured against it. If an asset has a beta greater than one, it's far more likely than the market to experience larger fluctuations. Conversely, a beta less than one means it's far less likely than the market to experience large fluctuations.