Consider the following 5 portfolios, A, B, C, D, and E. The expected returns and standard deviations of each are plotted on the graph below.

Which of the following statements are true? Circle all that apply

1. Under the CAPM, D has a higher idiosyncratic risk than B

2. F requires the ability to borrow at the risk-free rate

3. Under the CAPM, B and A have the same Beta

4. E is on the efficient frontier regardless of whether the investor has access to a risk-free asset
    

B.Y. E C F LL 900 A D DULA