Which of the following statement(s) is TRUE? 1. An envelope portfolio is the portfolio of risky assets that gives the lowest variance of return of all portiolios having the same expected return. 11. The convex combinations all lie on the envelope but may not necessarily be efficient. II. An efficient portfolio is the portfolio that gives the lowest expected return of all portfolios. IV. An efficient portfolio is the portfolio that gives the lowest expected return of all portfolios having the same variance. a. Statements I and IV only b. Statements I and II only c. Statementionly d. Statement Il only e. Statement III only f. Statement IV only