Question: Assume that the CAPM is true, Rp = 5%, RM = 15% and Om = 0.1. An investor with $10,000 to invest builds a portfolio,

Assume that the CAPM is true, Rp = 5%, RM = 15% and Om = 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 Pom = 1,BQ = 1.2 and 0Q = 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

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