Yes it is possible - although if you are going to select "all of the above" then make sure the answers are not shuffled, or all of the above might end up at the top instead of the bottom of your list.
In the multiple choice question, there is an option for Single or Multiple correct answers. Select Multiple. Then set your grading appropriately for each response. I normally divide 100 by however many correct answers and then assign negative amount to the incorrect answers.
There is also another question type out there called All or Nothing Multiple choice (or something like that!) that will only score the question correct if they correctly choose all of the correct options.
The All-or-Nothing Multiple correct answers question type is to be found at https://moodle.org/plugins/view.php?plugin=qtype_multichoiceset.
Joseph
Following Mary to admire some very useful practical advice. She just saved us all a lot of frustration.