Consider the following statements:

Investment A has an expected return of 20% and an expected standard deviation of 20%.

Investment B has an expected return of 15% and an expected standard deviation of 15%.

Investment C has an expected return of 10% and an expected standard deviation of 10%.

Assume that there is NO ABILITY to use financial leverage (i.e. borrowing) as you construct a portfolio of these three investments. The correlation of each fund with each other fund is less than 1.00, and in some cases is negative.

Assume you can build a portfolio using any blend/allocation to Investment A, B, and/or C (i.e. you can create a 1 investment portfolio, a 2 investment portfolio, or a 3 investment portfolio).

Which of the following statements is TRUE?

Group of answer choices

a. It is theoretically possible to construct a portfolio with an expected return of greater than 20%.

b. It is theoretically possible to construct a portfolio with an expected return below 10%.

c. It is theoretically possible to construct a portfolio with an expected standard deviation above 20%.

d. It is theoretically possible to construct a portfolio with an expected standard deviation below 10%.