If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume the risk-free rate is 5%.
A:
Portfolio E(r) Beta
A 15% 1.2
B 15% 1.0
B:
Portfolio E(r) Standard Deviation
A 20% 12%
B 15% 20%
C:
Portfolio E(r) Beta
A 20% 1.2
B 15% 1.0
D:
Portfolio E(r) Beta
A 30% 2.5
Market 15% 1.0