4) Based on the outcomes in the following table, choose which of the statements below is (are) correct? X.X 1.16 Scenario Recession Normal Boom Security A Return EA Return = E(1) Return (7) Security B Return= E(1) Return = E(0) Return = E() Security C Return Er) Return = E(1) Return E ) 500 500-JO xp.08 (1.16-1.08) x 1 = 500 I. The covariance of security A and security B is zero. II. The correlation coefficient between securities A and C is negative. III. The correlation coefficient between securities B and C is positive. (A) I and II only B) II and III only C) I, II, and III D) I only