Consider the following statements with reference to the implications of the CAPM. I. If the risk free rate is 5%, the expected return on the market index portfolio is 8%, the standard deviation of the market portfolio's return is 4% and a well-diversified portfolio has a standard deviation of 6%, the expected return on the portfolio should be 9.5%. II. The risk-return combination of a well-diversified portfolio should plot on the Capital Market Line but not on the Security Market Line. III. Efficient portfolios have Sharpe ratios which are higher than the slope of the Capital Market Line. Which of the following is correct? a. Statements I, II and III are correct. b. Statement I is correct, Statements II and III are incorrect. c. Statements I, II and III are incorrect. d. Statement II is correct, Statements I and III are incorrect. e. Statement III is correct, Statements I and II are incorrect