Which of the following is a correct result of CAPM? In equilibrium:

I. All investors choose to hold a broad market portfolio, M.

II. M is the minimum variance portfolio and, therefore, is the optimal risky portfolio.

III. The market risk premium is proportional to investors risk aversion.

IV. The risk premium on the individual assets is inversely related to the market risk premium.

I and III

I, II, and III

I

I, III, and IV