Which of the following statements about the assumptions of the Capital Asset Pricing Model (CAPM) is true?

a.

The less risk averse investors lend to the more risk averse investors at the risk-free rate.

b.

The market portfolio may not always be on the efficient frontier.

c.

Some investors can outperform the market portfolio in terms of Sharpe ratio.

d.

The less risk averse investors borrow from the more risk averse investors at the risk-free rate.