Assume that the CAPM is true, ' = 5%, ( = 15% ( = 0.1. An investor with $10,000 to invest builds a portfolio, Q, of T-bills and the market portfolio. This means that

(A) it would be possible for the investor to obtain a return of 17% on portfolio Q.

(B) if portfolio Q were composed of short-selling $2,000 in T-bills and the remainder is the

market portfolio, then )# = 1, ) = 1.2 and ) = 0.12.

(C) to obtain a return of 17% from portfolio Q the investor would need to invest $12,000 in the

market portfolio.

(D) all of the above are true.

(E) only a) and b) above are true.