PLEASE HELP!

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Which statements are TRUE regarding risk and return? Statement l: Diversification is the process of removing systematic risk from a portfolio. Statement II: In general, the greater the risk, the greater the return required by an investor.Statement III: Investors should focus on real returns if they are concerned about the purchasing power of their wealth. Statement I only Statements I and III only Statements Il and Ill only Statements I and II only None of the above Suppose that you currently have $100,000 invested in a portfolio with an expected return of 13% and a volatility of 8%. The efficient (tangent) portfolio has an expected return of 17% and a volatility of 10%. The risk-free rate of interest is 1%. Suppose that you want to keep the expected return equal to the current rate of 13%. Accordingly, the level of risk you can expect is: 1.00% 3.75% 4.75% 5.15% None of the above