Consider the following statements for an investor regarding a quadratic utility function of the form

U= E(r)-0.5*A*(SD)^2

Where, U= Utility; E(r)= expected return on the portfolio; A= coefficient of risk-aversion; (SD)^2= Variance of returns

1. When the value of A=0, it suggests that the investor is risk-neutral
2. When the value of A is negative, it suggests that the investor is risk-averse
3. When the value of A is positive, it suggests that the investor is risk-lover

Which of these above statements is (are) CORRECT?

Select one:

a.Statement (1) only

b.Statement (1) and Statement (2) only

c.Statement (2) and Statement (3) only

d.Statement (1) and Statement (3) only

e.Statement (1), Statement (2), and Statement (3)