Are the following true or false?

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

b$)$ The CAPM implies that investors require a higher return to hold highly volatile securities

c$)$ You can construct a portfolio with beta of $0\mathrm{.}75$ by investing $25\%$ of the

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

Please focus on option B$.$ I wonder why option B is wrong, since from CAPM, higher expected return requires higher $\backslash$beta $,$ implying higher risk for higher return.