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Consider the following statements. Statement I. All investors are fully informed and rational and make investment decisions based on optimizing the mean-variance of their consumption stream. Statement II. All investors have the same holding period. Statement III. All investors can borrow and lend at the same rate which is risk-free. Statement IV. All investors are taxed at a higher rate on dividends than on capital gains. Statement V. All investors face higher transactions costs on illiquid securities. Statement VI. All assets are publicly held and traded on exchanges. Which of the following is correct with reference to the capital asset pricing model (CAPM)? a. Statements I, II and III are correct assumptions of the CAPM, Statements IV, V and VI are not. b. Statements II, III and IV are correct assumptions of the CAPM, Statements I, V and VI are not. c. Statements I, III and V are correct assumptions of the CAPM, Statements II, IV and VI are not. d. Statements II, III and VI are correct assumptions of the CAPM, Statements I, IV and V are not