In a simple CAPM world which of the following statements is/are correct?
I. All investors will choose to hold the market portfolio, which includes all risky assets in the world
II. Investors' complete portfolio will vary depending on their risk aversion
III. The return per unit of risk will be identical for all individual assets
IV. The market portfolio will be on the efficient frontier and it will be the optimal risky portfolio
a. I, II and III only
b. II, III and IV only
c. I, III and IV only
D. I, II, III and IV
Answer: D. I, II, III and IV