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Asset A has an expected return of 20% and a return standard deviation of 18%. Asset B has an expected return of 25% and a

Asset A has an expected return of 20% and a return standard deviation of 18%. Asset B has an expected return of 25% and a return standard deviation of 20%. The return on the risk-free asset is 5%. 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

He is indifferent between asset A and asset B.

asset A

The answer cannot be determined from the data given.

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