Which of the following statement(s) is(are) true regarding

the selection of a portfolio from those that lie on the capital allocation

line?

I) Less risk-averse investors will invest more in the

risk-free security and less in the optimal risky portfolio than more

risk-averse investors.

II) More risk-averse investors will invest less in the

optimal risky portfolio and more in the risk-free security than less

risk-averse investors.