Assuming quadratic utility function in allocating between the risk-free and the market portfolio, the amount that an investor allocates to the market portfolio is negatively related to

I) the expected return on the market portfolio. II) the investor's risk aversion coefficient. III) the risk-free rate of return. IV) the variance of the market portfolio.

a.

II, III, and IV.

b.

I, III, and IV.

c.

I and II.

d.

II and IV.

e.

II and III.