All investors have access to one risk-free asset and N risky assets (N>2). Which of the following statement(s) about the optimal portfolio of an investor with a HIGHER degree of risk aversion, compared to others with lower degree of risk aversion is/are correct? [I] The optimal portfolio of an investor with a HIGHER degree of risk aversion offers higher risk premium. [II] The optimal portfolio of an investor with a HIGHER degree of risk aversion offers a lower Sharpe ratio. [III] The optimal portfolio of an investor with a HIGHER degree of risk aversion that are riskier (with higher standard deviations). a A. B. C. [I] only. [II] only. [III] only. [I], and [II] only. None of the above statements ([I], [II], or [III]) is correct. D. E