Which of the following is true? I. According to the CAPM, the composition of the optimal risky portfolio is different for all investors, but investors still end up holding the same total complete portfolios.

II. For the CAPM to be true, investors are allowed to differ in their level of wealth, but all investors must have the same risk aversion.

III. According to the CAPM, under normal market conditions, investors with greater risk tolerance hold portfolios with higher expected returns than investors with lower risk tolerance.

Multiple Choice:

a)None of the other responses correctly characterizes which statements are true.

b)III only.

c)I, II, and III are all true.

d)I only.

e)II only.