Question: 3. (2 points) Diversification is most effective when security returns are_ a high b. negatively correlated positively correlated d uncorrelated Asset Pricing (18 points) 4.

3. (2 points) Diversification is most effective when security returns are_

3. (2 points) Diversification is most effective when security returns are_ a high b. negatively correlated positively correlated d uncorrelated Asset Pricing (18 points) 4. (3 points) Suppose the CAPM holds and you have the following information on different assets Asset Systematie Risk Firm-specific Risk A 0.12 0.11 0.11 0.10 0.14 0.17 Which one of the following is true? a. Asset A has the largest beta b. Asset B has the largest beta

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