Use the following three statements to answer this question: I. A security with a beta of zero implies that all of the variability in this security's return is fully diversifiable by any investor holding a well-diversified portfolio in the U.S. market (most efficient in the world) II. The SML slope is the market risk premium III. The CML slope is the Sharpe ratio O a. Only I and II are correct b. Only I and III are correct Oc. Only II and III are correct O d. Only III is correct Oe. I, II, and Ill are all correct