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(d) Comment on the validity of the following statement: "According to the CAPM, an in- the-money put option on a zero beta stock should have an expected return equal to the risk-free rate". (5 marks) (e) Suppose that in any given year, there is a 50% chance that a mutual fund will outperform the market simply by chance. If there are N mutual funds, what is the smallest number N such that the probability of observing at least one out of these N funds outperform the market for 10 consecutive years by chance exceeds 99%? Noting that there are around 8,000 mutual funds in the US, comment on the implication(s) of your answer for empirical tests of efficient markets