CAPM holds. These are the riskiness of assets A and B.

- Asset A has return volatility of 14% and a beta of 1.37.

- Asset B has return volatility of 23% and a beta of 1.19.

Which is INCORRECT?

I. Asset B has the most total risk.

II. Asset A has the most systematic risk.

III. Asset A has the most idiosyncratic risk.

IV. Asset A should have a lower expected return compared to Asset X.

A. all 4

B. only IV

C. i, ii, iii

D. III, IV

E. I, II

D.