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Consider the following statements on the characteristics of well-diversified portfolios under the single-factor APT. Statement I. The beta of well-diversified portfolios equals 1. Statement II. The variance of returns of well-diversified portfolios equals that of the factor portfolio. Statement III. The non-systematic risk of well-diversified portfolios is 0. Choose the correct answer. a. Statements I, II and III are correct. b. Statements I, II and III are incorrect. c. Statement I is correct, Statements II and III are incorrect. d. Statement II is correct, Statements I and III are incorrect. e. Statement III is correct, Statements I and II are incorrect