In a simple CAPM world which of the following statements is (are) correct?

I. All investors will choose to hold the portfolio which includes all riskless assets in the world.

II. Investors will choose the same portfolio even if their levels of risk aversion are different.

III. The return per unit of risk will be different for different individual assets.

IV. The market portfolio will be on the efficient frontier, and it will be the optimal risky portfolio.

Multiple Choice

I and III only

I and IV only

IV only I,

II, III, and IV