Assume the market portfolio has an expected return of 8% and a standard deviation of 20%. The risk-free rate is 2%. Suppose a portfolio of stocks has an expected return of 12.5%. Which of the following would violate the CAPM?

a. Stocks standard deviation is strictly less than 35%

b. Stocks standard deviation is strictly greater than 35%

c.Stocks beta equals 1.75

d.

Stocks standard deviation is equal to 35%

e.

Stocks Sharpe ratio equals 0.3