Suppose you group all the stocks in the world into mutually exclusive portfolios (each stock is in only one portfolio): value stocks and crypto stocks. Suppose the risk free-rate is 2% and the two portfolios have equal size (in terms of total value), a correlation of 0.50, and the following characteristics:

	Value Stocks	Crypto Stocks
Expected Return	13%	20%
Volatility	12%	28%

Does the CAPM hold in this economy? (Hint: In other words, is the market portfolio efficient?). Select the best choice below.

	a.	The CAPM holds, that is, the market portfolio is efficient, because the crypto portfolio is not the portfolio with the lowest Sharpe ratio.
	b.	The CAPM does not hold, that is, the market portfolio is not efficient, because the market portfolio is not the portfolio with the highest Sharpe ratio.
	c.	The CAPM holds, that is, the market portfolio is not efficient, because the market portfolio is not the portfolio with the highest Sharpe ratio.
	d.	The CAPM does not hold, that is, the market portfolio is efficient, because the market portfolio is not the portfolio with the highest Sharpe ratio.
	e.	None of the above.