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!