Question 1 Which of the following statements is true? A. Stocks with a beta of zero offer an expected return of zero. 0.5 pts B. The CAPM implies that investors require a higher return to hold highly volatile securities. O C. You can construct a portfolio with a beta of 0.75 by investing 0.25 of your wealth in risk-free asset and the rest in the market portfolio.

Which of the following statements is true? A. Stocks with a beta of zero offer an expected return of zero. B. The CAPM implies that investors require a higher retum to hold highly volatile securities. C. You can construct a portfolio with a beta of 0.75 by investing 0.25 of your wealth in risk-free asset and the rest in the market portfolio