Which of the following is/are TRUE? I. A stock with a beta of zero would be expected to have a rate of return equal to zero. II. With the ability to borrow and lend at the risk-free rate, there is one...

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Extracted text: Which of the following is/are TRUE? I. A stock with a beta of zero would be expected to have a rate of return equal to zero. II. With the ability to borrow and lend at the risk-free rate, there is one BEST efficient risky portfolio to hold, the tangency portfolio (identified by the tangent point of the capital market line and the efficient frontier). III. The security market line can be thought of as expressing relationships between required rates of return and beta. O1, II, and I. Il only. Il and III. I only. OLand II