Please select the statements that are TRUE.

Group of answer choices:

A) If stocks were perfectly positively correlated, diversification would not reduce risk.

B) Diversification over a large number of assets completely eliminates risk.

C) Diversification works only when assets are uncorrelated.

D) A stock with a low standard deviation always contributes less to portfolio risk than a stock with a higher standard deviation.

E) Investors demand higher expected rates of return on stocks with more variable rates of return.

F) Investors demand higher rates of return from stocks with returns that are highly exposed to macroeconomic risks.

G) Investors demand higher rates of return from stocks with returns that are very sensitive to fluctuations in the stock market.

H) The CAPM implies that if you could find an investment with a negative beta, its expected return will be less than the risk-free rate.

I) The CAPM implies that a security with a beta of 0 will offer zero expected return.

J) The expected return on an investment with a beta of 2.0 is twice as high as the expected return on the market.

K) If a stock lies below the Security Market Line, it is undervalued.

L) The slope of the Security Market Line is the Sharpe ratio of the market portfolio.