Question: Security A has a higher standard deviation of returns than security B. We would expect that: I. Security A would have a risk premium equal

Security A has a higher standard deviation of returns than security B. We would expect that:

I. Security A would have a risk premium equal to security B.

II. The likely range of returns for security A in any given year would be higher than the likely range of returns for security B.

III. The Sharpe ratio of A will be higher than the Sharpe ratio of B.

Multiple Choice

A. I only

B. II only

C. II and III only

D. I, II, and III

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