Are the following statements true or false?

i$.$ Stocks with a beta of zero offer an expected rate of return of zero.

ii$.$ The CAPM implies that investors require a higher return to hold highly

volatile securities$.$

iii. You can construct a portfolio with a beta of $0\mathrm{.}75$ by investing $0\mathrm{.}75$ of the

investment budget in T$-$bills and the remainder in the market portfolio.

Consider the following information:

a$)$ Calculate the Sharpe ratios for the market portfolio and portfolio $A.$

b$)$ If the simple CAPM is valid, is the above situation possible?

Which of the following are assumptions of the simple CAPM model?

I. Individual trades of investors do not affect a stock's price.

II$.$ All investors plan for one identical holding period.

III. All investors analyze securities in the same way and share the same

economic view of the world.

IV$.$ All investors have the same level of risk aversion.

a$)$ I, II$,$ and IV only

b$)$ I, II$,$ and III only

c$)$ II$,$ III, and IV only

d$)$ I, II$,$ III, and IV