d) (1 point) The following assets are available to you: Asset Expected return A 15% B 12% C 5% D 9% Standard deviation 36% 15% 7% 21% You are not sure about correlations between these assets. Statement: Asset D can not lie on the efficient frontier. e) (1 point) All investors are maximizing the expected return subject to not exceeding some standard deviation they are willing to tolerate. Asset A has a lower Sharpe-ratio and a higher variance than Asset B. Statement: Some investors might still invest some of their wealth into Asset A. f) (1 point) CAPM holds. Statement: If beta of an asset is 0, the asset must be a risk-free asset. g) (1 point) The asset has expected return of 5% and standard deviation of 0%. Statement: a return on the asset can be negative. h) (1 point). The asset has expected return of 5% and standard deviation of 2%. Statement: a return on the asset can be negative