Assume a utility function of = [] 1 2. Which statement(s) is/are correct about investors with this utility function?

[I] An investor with a higher degree of risk aversion chooses the optimal portfolio with a higher risk premium

[II] An investor with a higher degree of risk aversion chooses the optimal portfolio with lower risk

[III] An investor with a higher degree of risk aversion chooses the optimal portfolio with a higher sharpe ratio

[IV] The extent to which the investor dislikes risk is captured by 2

A. [II] only

B. [I], [II] only

C. [III] , [IV] only

D. [II], [IV] only

E. [I], [II], [III] only