Which of the following statements are true of a well-diversified portfolios expected return? Assume that all portfolio weights are positive.

I. It cannot exceed the expected return of the best performing security in the portfolio.

II. It must be equal to or greater than the expected return of the worst performing security in the portfolio.

III. It is independent of the unsystematic risks of the individual securities held in the portfolio.

IV. It is independent of the allocation of the portfolio amongst individual securities.