The risk-free asset has a return of 5%. The market portfolio has an expected return of 20% and a standard deviation of 40%. A portfolio that holds both assets has an expected return of 27.5%. This portfolio also has: (I) A standard deviation larger than 40%. (II) A negative weight in the risk-free asset. (III) A positive weight in the risk-free asset.

II only

I and II only

III only

I and III only

I only