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%.

Option D
		Option A
		Option C
		Option B

A) Portfolio A Market Expected Return 11% 11% Beta 1.1 1.0 B) Portfolio A Market Expected Return 14% 9% Standard Deviation 11% 19% C) Portfolio A Market Expected Return 14% 9% Beta 1.1 1.0 D) Portfolio A Market Expected Return 17.6% 11% Beta 2.1 1.0