Please comment the following statement (30 marks) 1) The expected return of zero beta security is smaller than risk free rate. (5 marks) 4 2) According to CAPM, the higher the variance, the higher the expected return. (5 marks) 3) As diversification increases, the systematic risk of a portfolio approaches zero. 15 marks) 4) Analysts may use regression analysis to estimate the index model for a stock. When doing so, the slope of the regression line is an estimate of the beta of the asset. (5 marks) e 5) According to the separation property, the determination of the optimal risky portfolio depends on personal preference. (5 marks) 6) A less risk-averse investor has a steeper indifference curve for the utility function. Te