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An investor having a risk aversion coefficient (A) equal to 2.5 is considering three portfolios of varying risk and return as shown in the table

An investor having a risk aversion coefficient (A) equal to 2.5 is considering three portfolios of varying risk and return as shown in the table below. Assuming a risk-free rate equal to 4%, which statement below is CORRECT?

Investment Table

Portfolio

Return

Volatility

Sharpe Ratio

Low Risk

7%

10%

0.30

Medium Risk

10%

20%

0.30

High Risk

13%

30%

0.30

Utility of High Risk Portfolio = 1.75%

A. Of the three portfolios, the Low Risk portfolio provides the highest utility to the investor.

B. All three portfolios provide the same utility to the invdstor since they all have the same Sharpe ratio and lie on the Capital Allocation Line (CAL)

C. Of the three portfolios, the Medium Risk portfolio provides the highest utility to the investor.

D. Of the three portfolios, the High Risk portfolio provides the highest utility to the investor.

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