Which of the following is true about investment opportunity set constructed by two risky assets? 15) ______

I. It is determined by mean, variance and covariance of two assets.

II. All portfolios on it have higher returns if they are exposed to higher risks.

III. If there is a risk-free rate, an optimal CAL exists.

IV. If there is a risk-free rate, there is a unique optimal portfolio consists two risky assets and the risk-free asset for all investors.

A) I and III B) I, II and III C) I, III, and IV D) I, II, III, and IV