If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume the risk-free rate is 5%.

A)

Portfolio	Expected Return			Beta
A		11	%		1.1
Market		11	%		1.0

B)

Portfolio	Expected Return			Standard Deviation
A		14	%		11	%
Market		9	%		19	%

C)

Portfolio	Expected Return			Beta
A		14	%		1.1
Market		9	%		1.0

D)

Portfolio	Expected Return			Beta
A		17.6	%		2.1
Market		11	%		1.0

Option D

Option A

Option C

Option B