Are the following statements true? Give brief but precise explanations for your answers.

a)Stock A has expected return 10% and standard deviation 15%, and stock B has expected return 12% and standard deviation 13%. Then, no investor will buy stock A.

b)Diversification means that the equally weighted portfolio is optimal.

c)The CAPM predicts that the expected return on the market portfolio is always greater than the return on the riskless asset.

d)The CAPM predicts that a security with a beta of zero offers zero expected return.

e)The CAPM predicts that investors demand higher expected rates of return from stocks that have a high (positive) sensitivity to fluctuations in the stock market.

f)An investor who puts $10000 in T-bills and $20000 in the market portfolio will have a beta of 2.0.