1. Suppose CAPM holds, which of the following is true: A. Stocks with the same risk premium have the same covariance with the market. B. Among the opportunity set of the risky assets, the market portfolio has the lowest variance. C. No individual stock can earn expected return higher than the market. D. It is possible that the tangent portfolio is 80% correlated with the market portfolio, i.e. the correlation between the tangent portfolio and the market portfolio is 80%. E. It is possible to nd an investor with mean-variance preference Whose portfolio is 50% correlated With the market portfolio