Suppose that the risk-free rate is 2%. the expected market return is 10%. and the standard deviation of the market return is 20%. Based on CAPM, an…

Is the above statement TRUE, FALSE or UNCERTAIN? Please provide a brief explanation with the answer.

Suppose that the risk-free rate is 2%. the expected market return is 10%. and thestandard deviation of the market return is 20%. Based on CAPM, an investor should not invest any positive amount in an asset that has an expected return of 2% and astandard deviation of 35%. (10 marks}