the abuve (that is, all statements are true) 12. Relative to each other, which one of these portfolios could not lie on the efficient frontier? Expected Return Standard deviation 12 20 2 10 13. Assume the CAPM holds. You have a stock that has a beta of 1.5 and an expected return of 12%. If the risk free rate is 3%, what must the expected return on the market be? A. 16.5% B. 6% C.9% D.8% E. 13.5% 14. You expect IBM to return l 2% next year, IBM has a beta of 1 .2, the market is expected to return 10% next year, and the risk free rate is currently 5%. Based on your expectation that IBM will earn ! A. IBM is undervalued. B. IBM is overvalued. C. IBM is correctly priced. A portfolio manager is considering adding another security to his portfolio. The correlations of the 5 alternatives available are listed below. Which security would enable the highest level of risk diversification? L.e. Reduce risk the 15. most? a. 0.0 b. 0.25 c. -0.25 d. -0.75 e. 1.0 sned to he efficient if