Which of the following statements about the Capital Market Line is/are true?

I. Under CAPM assumptions, a rational investor will only invest in a portfolio along the CML. II. All portfolios along the CML have the same Sharpe Ratio. III. Investors with different risk aversion would invest in different portfolios along the CML.

1) I only 2) II only 3) I and II only 4) I and III only 5) I, II and III

Please explain. Thank you!