In a perfect CAPM world, where 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 A has a beta of 1 and a 15% return, while the market portfolio has a beta of 1 and has an 11% return

b.

An individual stock has a higher Sharpe Ratio than the Market Portfolio

c.

Portfolio A has a standard deviation of 20% and an expected return of 12%, while the market portfolio has a standard deviation of 30% and an expected return of 14%.

d.

Portfolio A has a Beta of 2 and Portfolio B has a Beta of 3.