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20. SML describes the relationship betuin a. Risk premium and systematic risk b. Risk premium and total risk C. Realized returns and beta d. Realized returns and standard deviation 21. Which of the following is true about the SML? a. The SML must have a positive slope. b. The slope is equal to the expected market return. C. Assets with idiosyncratic risks are not on the SML. d. Assets with negative betas are not on the SML. Which of the following is true about CAPM beta? a. Beta must be positive. b. The variance of a well-diversified portfolio is equal to its beta. c. Beta measures the extent to which an asset's returns commove with market returns. Beta of 1 means that when the market return is positive, the asset return must be positive. 23. Which of the following is true about an asset with a sut beta of 1.5? a. Its expected return is 50% higher than the market's expected return. b. It must have a higher return standard deviation than an asset with a beta of 0.5. c. It must have more systematic risk than an asset with a beta of 0.5. tock d. It must have no diversifiable risk. 24. Which of the following is true about the equally weighted portfolio of the two assets with betas 0.6 and 0.4, respectively? ce of a. The portfolio must have a beta of 1. b. The portfolio beta cannot be determined without additional information. c. The portfolio must have a lower standard deviation than either A or B. d. The portfolio standard deviation cannot be determined without additional information. 25. Which of the following is true about the CAPM? a. There could be systematic risks other than market risk. b. No asset has idiosyncratic risk. c. A portfolio with a beta of 1 has the same returns as the market portfolio. ents d. The market portfolio must be well-diversified. 26. You currently have $100k invested in the stock ents market with a portfolio beta of 0.8. Which of the following actions will increase your overall stock portfolio beta to 1.2? a. Invest another $50k in stocks with beta = 1.2 ine... b. Invest another $50k in stocks with beta = 1.6 C. Sell $50k of your stocks with beta = 0.4 d. Sell $50k of your stocks with beta = 1.6 rall