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Suppose the market portfolio is equally likely to increase by 25% or decrease by 5%. The beta of a firm that goes up on average by 12% when the market goes down and goes down by 16% when the market goes up is 0.93 1.07 1.53 2.13 None of the above Which of the following statements is FALSE? The portfolio that contains all shares of all stocks and securities in the market is called the efficient portfolio The market portfolio is an efficient portfolio. We can measure the systematic risk of a security's return by its beta. Because it is difficult to find data for the returns of many bonds and small stocks, it is common practice to use the S&P 500 portfolio as a proxy for the market portfolio, under the assumption that the S&P 500 is large enough to be essentially fully diversified. None of the above