According to the CAPM, expected return increases as the beta of the investors portfolio increases. Given that, evaluate the following statement as true or false:

"If investors have standard mean-variance preferences (U= E[r] - Ao) with A>0, CAPM investors will maximise utility by borrowing as much as possible at the risk- free rate and investing the money in the market portfolio." 99 You must explain the rationale for your answer for full credit