Question 2 20 pts The following is the probability distribution of Security A. Probabilities Security A 15% -5% 30% 35% 6% 15% 10% 20% What is the standard deviation of Security A's returns? 0 76.86% 6.66% 8.77% O 44.41% O 6.50% Question 3 20 pts Which of the following statements is correct? The beta of a portfolio is always smaller than the betas of any of the individual securities in the portfolio because of the diversification effect With a portfolio diversification, the inherent risk that remains is market risk, which is constant for all stocks in the market None of the statements is correct If a beta of a stock doubles, then its required rate of return must double according to the CAPM The most effective diversification can be achieved when two stocks with a +1.0 correlation are combined to form a portfolio