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Asset A has an expected return of 15% and a return standard deviation of 16%. Asset B has an expected return of 20% and a

Asset A has an expected return of 15% and a return standard deviation of 16%. Asset B has an expected return of 20% and a return standard deviation of 30%. Asset C has an expected return of 12% and a return standard deviation of 10%. The return on the risk-free asset is 4%. If a risk-averse investor can only pick one risky asset to hold in conjunction with the risk-free asset, which one would he pick?

asset B

asset A

Asset C

He is indifferent between asset A, asset B and asset C.

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