Two investors create a portfolio of the risk-free asset and the market portfolio. The weights of Investor A are respectively 0.2 and 0.8. The weights of Investor B are respectively 0.4 and 0.6. what can we say about the investor preferences?

I. Investor A is more risk-averse than Investor B

II. Both investors choose the same tangency portfolio

a.

Only statement II is correct

b.

Only statement I is correct

c.

Both statements are false

d.

Both statements are correct