You are an investment advisor for Alan and Jimmy. You've helped them optimally allocate their investment portfolios along the same capital allocation line (CAL). If Alan's portfolio has a higher weight on a risk-free assets than Jimmy's portfolio, then which of the following statements MUST be true:n

I. Alan's Portfolio has lower expected returns than Jimmy's

II. Alan is less risk-averse than Jimmy

III. Alan must hold a positive position in the risky asset