Assume that the single-index model holds and that we can price a portfolio using rp (t) = ap + BP (rm (t) rf (t))+ep (t) We create a portfolio P10 by equally weighting across 10 randomly picked stocks. We then create a second portfolio P100 by equally weighting across the previous 10 stocks and another 90 randomly picked stocks. According to this process, we expect to observe... 1. The return on P10 is greater than the return on P100. II. The Sharpe Ratio of P10 is greater than the Sharpe Ratio of P100 III. The beta of P10 is closer to 1 than is the beta of P100: 13p10-11 Bp100-11 I only Oll only O I, II and III None of the three statements is true. O III only