Question 10: Which of the following statements is (are) true?

• Statement 1. The market portfolio is a value-weighted portfolio. Its risk premium is proportional to its beta and to the risk aversion of the average investor.
• Statement 2. The CAPM assumes investors agree on a common input list for security analysis.
• Statement 3. The capital market line is valid for efficient portfolios and individual assets.
• Statement 4. The security market line of the CAPM is valid for well-diversified portfolios only.

1. Statement 1
2. Statement 2
3. Statement 3
4. Statement 4
5. Statements 2 and 3.
6. Statements 1 and 2.