1.2 (6 points) State whether the following statements are true (T) or false (F), and briefly explain a) Stocks with a beta of zero offer an expected rate of return of zero. b) You can construct a portfolio with a beta of 0.75 by investing 75% of the investment budget in T-bills (risk-free asset) and the remainder in the market portfolio c) Risky assets must earn an expected return that is higher than the risk-free rate because otherwise no investors will hold the risky asset