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		19	%		0.8
Market		19	%		1.0

B)

Portfolio	Expected Return			Standard Deviation
A		22	%		8	%
Market		17	%		16	%

C)

Portfolio	Expected Return			Beta
A		22	%		0.8
Market		17	%		1.0

D)

Portfolio	Expected Return			Beta
A		30.2	%		1.8
Market		19	%		1.0