The following assets are available. Asset Expected Return Standard Deviation Classen Blvd (CL) 12% 1796 Western Ave. Manufacturing (WAM) 996 1396 22th Street Industries (IND) 896 1296 T-bills 4% 0% Mr. Invest-A-Lot is risk averse. If you want to find the portfolio that gives Mr. Invest-A-Lot the highest utility, what information would you need beyond what is available above? Explain. QUESTION 11 Under the CAPM we assume that all investors... I. are the same II. have identical holding periods III. apply the techniques in portfolio theory to find their optimal portfolio IV. estimate the same expected returns for Apple, Facebook and Microsoft. V. hold the same optimal risky portfolio VI. have the same level of risk aversion O A. II, III and IV OB. V O C. I, II, III, IV and Vi OD. II, III and V E. II, III, IV and V F. I, V, VI O G. All are correct