5. MCQ - The CAPM implies that a. investors may invest in assets with expected returns lower than the riskless interest rate b. no investor should invest in the risk-free asset c. the only relevant measure of risk is standard deviation d. the expected return on an efficient portfolio may be lower than the riskless interest rate 6. MCQ - The beta of an efficient portfolio a. must be 1 since an efficient portfolio is perfectly positively correlated with the market portfolio b. is proportional to 1, depending on the proportion invested in the market portfolio c. is equivalent to the portfolio's standard deviation, since standard deviation is the measure of risk for an efficient portfolio d. is always less than 1