QUESTIONS 115 THROUGH 120 RELATE TO PORTFOLIO MANAGEMENT.

120. Compared to the traditional Capital Asset Pricing Model (CAPM), where lending

and borrowing are carried out at the risk-free rate, a zero-beta CAPM would most

likely result in a security market line (SML) with:

A. unchanged intercept and slope.

B. a higher intercept and flatter slope.

C. a lower intercept and steeper slope.