Two assets have the following expected returns and standard deviations when the risk-free rate is 5%: Asset A E ( r A ) = 10% σ A = 20% Asset B E ( r B ) = 15% σ B = 27% An investor with a risk...

Two assets have the following expected returns and standard deviations when the risk-free rate is 5%:

Asset AE(r
_A) = 10%σ

_A
 = 20%

Asset BE(r
_B) = 15%σ
_B = 27%

An investor with a risk aversion of A = 3 would find that _________________ on a risk return basis.

1. only Asset A is acceptable


2. only Asset B is acceptable


3. neither Asset A nor Asset B is acceptable


4. both Asset A and Asset B are acceptable