Which of the following is true according to Markowitz Portfolio Optimization:

I. If two investors hold different risky portfolios, they must have different risk aversions.

II. Under normal market conditions, investors with greater risk tolerance hold portfolios with higher expected returns than investors with lower risk tolerance.

III. The composition of the optimal risky portfolio could be the same for all investors, but investors would still differ by the compositions of their total complete portfolios.

Multiple Choice

a) None of (a) through (d) correctly characterizes which statements are true

b) I, II, and III

c)II and III only

d)I and II only

e)I and III only