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

a$.$ None of the above is true.

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

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