Security a Has a Higher Standard Deviation of Returns Than

Multiple Choice

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.

A) I only
B) II only
C) II and III only
D) I, II, and III