The expected return on a portfolio: I. can never exceed the expected return of the best performing security in the portfolio. II. must be equal to or greater than the expected return of the worst performing security in the portfolio. III. is independent of the unsystematic risks of the individual securities held in the portfolio. IV. is independent of the allocation of the portfolio amongst individual securities.

The expected return on a portfolio is defined as the expected amount of returns that a portfolio may generate. And it is established on the weighting of assets in a portfolio and their anticipated return.

It is usually used for forecasting the returns on investment.

Hence, considering the available options, the expected return on a portfolio:

I. can never exceed the expected return of the best performing security in the portfolio.

II. must be equal to or greater than the expected return of the worst-performing security in the portfolio.

III. is independent of the unsystematic risks of the individual securities held in the portfolio.