State whether the following statements are true or false - explanation required (a) The Capital Asset Pricing Model assumes a quadratic relationship between the expected excess return on an asset and the expected excess return on the market. (b) Consider solving the mean-variance portfolio optimization problem. The assumption that returns are normally distributed is crucial to obtaining the solution. (c) When hedging with forwards, if there is no basis risk, the optimal hedge ratio is always 1.0. (d) Consider hedging a long position in an equity portfolio using SP500 futures. If the beta of the portfolio (relative to the SP500 futures) is equal to zero, then a perfect hedge can never be constructed