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tion$2$

Which statement about the capital asset pricing model $($CAPM$)$ is correct?

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$0.$ None of the above is true.

b$.$ Stocks with a beta of zero offer an expected rate of return of zero.

c$.$ You can construct a portfolio with beta of $0\mathrm{.}75$ by investing $0\mathrm{.}75$ of the investment budget in T$-$bills and the remainder in the market portfolio.

d$.$ The CAPM implies that investors require a higher return to hold highly volatile securities$.$

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