15. According to Tobin's separation property, portfolio choice can be separated into two independent tasks consisting of and a. Identifying all investor imposed constraints; identifying the set of securities that conform to the investor's constraints and offer the best risk-return tradeoffs b. Identifying the investor's degree of risk aversion; choosing securities from industry groups that are consistent with the investor's risk profile c. Identifying the optimal risky portfolio; constructing a complete portfolio from T-bills and the optimal risky portfolio based on the investor's degree of risk aversion d. None of the above answers is correct 16. When positive amounts are invested, 1)Can the return on a portfolio ever be less than the smallest return on an individual security in the portfolio? 2) Can the standard deviation of a portfolio ever be less than the smallest standard deviation of an individual security in the portfolio? a. 1) yes; 2) yes b. 1) yes; 2) no c. 1) no; 2) yes d. 1) no; 2) no 17. The risk that can be diversified away is a. Firm-specific risk b. beta c. systematic risk d. market risk 18. In the single-index model represented by the equation ri=E(r)+,F+e, the term ei represents: a. the impact of unanticipated macroeconomic events on security is return. b. the impact of unanticipated firm-specific events on security is return. c. the impact of anticipated macroeconomic events on security is return. d. the impact of anticipated firm-specific events on security is return. e. the impact of changes in the market on security is's return. 19. If a firm's beta was calculated as 0.8 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of a. less than 0.8 but greater than zero. b. between 0.8 and 1.0. c. between 1.0 and 1.8. d. greater than 1.8. e. zero or less. 20. The variable (A) in the following utility function represents U=E(r)2A2 a. the investor's required return b. the investor's aversion to risk c. the certainty-equivalent rate of the portfolio d. the minimum required utility of the portfolio