Question 24 1 Which of the following statements regarding the separation property in portfolio choice problems is true? B A portfolio's risk is separated into the systematic and the idiosyncratic risk Determining the optimal portfolio and allocating between risky and risk-free are two separable tasks An investor minimizes the portfolio risk and, independently, maximizes the portfolio return The expected return of a portfolio is written with the portfolio's alpha and beta D Question 25 T Which of the following would be a viable way to earn abnormally high trading profits if markets are strong-form efficient? A B C Buy shares in companies with high alphas Buy shares in companies with high market betas Buy shares in companies for which you have positive insider information cannot earn high profits because prices already reflect all relevant information D