Use the Following Three Statements to Answer This Question

Multiple Choice

Use the following three statements to answer this question:
I.The CAPM points out that rational investors should be compensated for unique risk.
II.The CAPM implies that non-systematic risk is the appropriate measure of risk to determine the risk premium required by investors for holding a risky security.
III.The expected portfolio return from non-systematic risk is zero.

A) I, II and III are correct.
B) I and II are incorrect, III is correct.
C) I, II are correct, III is incorrect.
D) I, III are incorrect, II is correct.