John and Jim are both risk averse and only care about the mean and standard deviation of their portfolio return. They agree on the investment opportunity set. There are N risky assets and a riskless asset. Which one of the following statement is true

Select one:

a. John holds any two risky assets in the same ratio as Jim does in his portfolio

b. John and Jim may hold completely different portfolio of risky assets

c. When choosing between two portfolios, John and Jim always prefer the one with the lowest standard deviation

d. John and Jim must hold the same portfolio of all assets