{gm points]. Are the following statements true or false? Provide a short justication for your answer. [You are evaluated on your justication.) Remember that a statement is false if any part of the statement is false. a} {1n paints}. Suppose the CAPM holds. Suppose an asset A has a lower standard deviation than the market portfolio, that is, \"A '5: \"mitt Then,theexpectedretm'nonassetmustbelowerthantheexpectedrehmonthemarketportfolio. b} {1n points]. The CAPM states that returns are based on market risk. Thus, any two assets with the same correlation with the market must have the same risk premium {and thus the same expected return]. :1} {1o points}. Suppose that you are a mean-variance optimizer. The sh-free rate is rf. You can invest in 2 risk}? assets, Witli'l. expected returns IE [fa] , IE [t3]. Suppose both risky assets have expected returns strictly lower than the riskfree rate: E [is] i To IE [1's] i Tf The riskfree asset mean-variance dominates both assets, so these risk}.r assets do not expand your hiveshnent opportunity set Thus, a meanvariance investor would invest her entire portfolio in the risktree asset. d) {1o points]. Suppose arbitrage prising theory holdsr so returns of all assets are determined by their factor loadings on a small set of prised risk factors. The asktree rate is Tf- Suppose two stocks. A and E, are perfectlyIr positively correlated. Both stoeks are risky: the return standard deviation of both is greater than o. Itstock A. has an expected return greater than the riskfree rate rf, then stock E must also have an expected return greater than Tf