11. Each of the following statements is true in the context of portfolio theory except a) The market value of stock affects the asset beta of a firm. b) A general assumption is that the returns on a well-diversified portfolio have a normal distribution. c) When the correlation between two risk securities is 0, the beta of the minimum variance portfolio created by combining the securities will be 0. d) The contribution of a security to the risk of the market portfolio is the covariance of the security's returns with the market returns. e) The less risk-averse investor will tend to hold more of his/her assets in the market portfolio than a more risk-averse investor