Consider the following statements on extensions of the CAPM.

I. If investors face restrictions on borrowing, then under the zero-beta version of the CAPM, the risk premium on the market portfolio will be higher than under the simple CAPM.

II. If the effect of labour income and non-traded assets are taken into account, investors may derive different optimal risky portfolios and the beta of each asset will be different than under the simple CAPM.

III. Under the consumption-based CAPM, the beta of the market portfolio with respect to the consumption-tracking portfolio will equal 1.

Which of the following is correct?