If CAPM in its purest form is valid (i.e., alpha=0% at any given point in time), which of the situations below is possible? Situation 1: Portfolio E(r) Beta A 20% 1.4 Market 25% 1.2 Situation II: Portfolio E(r) Standard Deviation A 30% 35% Market 40% 25% Situation III: Portfolio E(r) Standard Deviation Risk-free 10% 0% Market 18% 24% A 16% 12% Situation IV: Portfolio E(r) Standard Deviation Risk-free 10% 0% Market 18% 24% A 20% 12%