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What are the equilibrium predictions of the Capital Asset Pricing Model (CAPM)? I. All investors hold the same optimal risky portfolio that equals the market

What are the equilibrium predictions of the Capital Asset Pricing Model (CAPM)?

I. All investors hold the same optimal risky portfolio that equals the market portfolio

II. The market risk premium is proportional to investors' average risk aversion and market return variance

III. Individual asset risk premium is proportional to its beta on the market and the market risk premium

Group of answer choices

I and II only

I and III only

I only

I, II and III

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