John and Jim are both risk-averse and only care about their expected portfolio return and the standard deviation of their portfolio return. They agree on the opportunity set available. There are N risky assets and a riskless asset. Neither of them holds only the riskless asset. Which of the following statements is correct?
A. John and Jim must hold the same total portfolio of all assets.
B. John and Jim may hold completely different portfolios of risky assets.
C. When choosing between 2 portfolios, John and Jim always prefer the one with the lower standard deviation.
D. John and Jim short-sell exactly the same risky assets (so if John short-sells a particular risky asset, then Jim does too).
E. None of the statements are correct.