Suppose that the CAPM holds and the expected return on the market portfolio is 10%, the risk-free rate is 4%, the standard deviation of the market portfolio is 16%. What is the expected return on the efficient portfolio with 20% standard deviation? 12.5% 10% 15.5% 11.5% 20% Question 7 ( 2 points) Suppose that you wish to invest in the Amazing Hedge Fund. You estimated that the beta of the Amazing Hedge Fund is equal to 5. Assume that the CAPM holds. From this information only, can you conclude that the Amazing Hedge Fund is not welldiversified and the further diversification is possible? Yes, because the beta measures the risk of this hedge fund and it is very high relatively to the market portfolio. Yes, because the beta of this hedge fund is 5 and the beta of the market portfolio is only 1. No, because the beta measures only the systematic risk and this risk cannot be diversified away. No, the high beta simply means that the hedge fund pays a very high return. Cannot answer this question based on the information provided