QUESTION 10 Stock X has a beta of 0.4 and Stock Y has a beta of 0.8, and these two stocks have a perfectly positive correlation. The excess return on the market portfolio 1% and the risk-free rate is 0%. You want to create a portfolio by putting an equal weight on each of the stocks. Assume that the Capital Asset Pricing Model (CAPM) holds true. Which of the following are TRUE? I. The expected return on Stock X is twice the expected return on Stock Y. II. The beta of the portfolio is 1.2. III. You can have a better risk-return profile when investing in the portfolio rather than holding an individual Stock X or Y. A. I B. I and II OC. III D. None of the above