Can you explain the answers :)

Q1

Find the true statement in CAPM

I. Inefficient portfolios lie below the capital market line.

II. All securities on the security market line are efficiently diversified

III. Higher systematic risk leads to a higher expected return

A: I,II, and III

B:II and III

C: I and III

D: I and II

E: Only III

Choose the true statements of a portfolio from those that lie on the capital allocation line?

I: Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors.

II: Less risk-averse investors will invest less in the risk-free security and more in the optimal risky portfolio than more risk-averse investors.

III: The final portfolio of an investor is where her highest possible indifference curve is tangent to her capital allocation line.

A: only I

B: Only II

C: Only III

D: II and III

E: I and III