Assume CAPM holds. Which of the following statements are correct?

Check All That Apply

• A negative-beta asset can be used for hedging market risk.

  A negative-beta asset can be used for hedging market risk.

• Stocks with zero betas have expected return equal to the risk-free rate.

  Stocks with zero betas have expected return equal to the risk-free rate.

• A security with high volatility and low beta will have lower expected return than the security with low volatility and high beta.

  A security with high volatility and low beta will have lower expected return than the security with low volatility and high beta.

• The beta of a portfolio comprised of 60% of the fund in the market index and 40% of the fund in T-bills is 0.3.

  The beta of a portfolio comprised of 60% of the fund in the market index and 40% of the fund in T-bills is 0.3.

• A security with high standard deviation must have high expected return