6. Which of the following statements is incorrect? A. The expected risk premium on each investment is proportional to its beta. B. Securities with a higher market risk require a higher expected return. C. The stock beta measures the sensitivity of a stock's return to the return on the market portfolio. D. If the correlation of the stock returns in your stock portfolio increases over time, then the variance of the portfolio return will decrease over time. E. None of the above 7. Which of the following correctly ranks the various asset classes in the United States according to their historical average risk premium (i.e. from low to high risk premium)? A. S&P 500