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Assume the CAPM holds and rate these statement as true or false? Explain your reasoning...

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Assume the CAPM holds and rate these statement as true or false? Explain your reasoning behind your answer. Each question is worth 7 points. 1. A security with a beta of 1 offers the same expected return as the risk-free asset. 2. A security with a beta of 0 offers the same expected return as the market portfolio. 3. The more volatile the security (the higher its standard deviation), the higher expected returns it would offer. 4. The higher the correlation of the security with the market portfolio, the less risk of this security can be diversified away by combining it with other securities

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