QUESTION 6 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 Expected Return 14% 14% Beta 0.6 1.0 Market B) Portfolio Expected Standard Return Deviation 17% 12% 14% 6% Market Portfolio Expected Return 17% Beta 0.6 1.0 Market 12% Portfolio Expected Return 23.0% 14% Beta 2.0 1.0 Market Option A Option B Option C Option D