Question: Please show all steps! Thank you! Is it possible that a security with a positive standard deviation of returns could have a beta of zero

Please show all steps! Thank you!

Is it possible that a security with a positive standard deviation of returns could have a beta of zero (excluding T-bills)? Explain. From the CAPM, what is the expected return on such an asset? Is it possible that a security with a positive standard deviation could have an expected return from the CAPM less than the risk-free rate? If so, what would its beta be? Would anyone be willing to hold such a stock? Discuss.

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