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		18	%		0.9
Market		18	%		1.0

B)

Portfolio	Expected Return			Standard Deviation
A		21	%		9	%
Market		16	%		17	%

C)

Portfolio	Expected Return			Beta
A		21	%		0.9
Market		16	%		1.0

D)

Portfolio	Expected Return			Beta
A		27.1	%		1.7
Market		18	%		1.0

	Option A
	Option B
	Option C
	Option D