Question

14) Two assets have the following expected returns and standard deviations when the risk-free rate is...

14)

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

Asset A E(rA) = 10% σA = 20%

Asset B E(rB) = 15% σB = 27%

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

Multiple Choice

  • only asset A is acceptable

  • only asset B is acceptable

  • neither asset A nor asset B is acceptable

  • both asset A and asset B are acceptable

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