Consider the following three facts. $1)$ In a recession, Stock XXX$$s expected return is $15\%$; in a boom, XXX$$s expected return is $5\%.2)$ In a recession, Stock YYY$$s expected return is $0\%$; in a boom stock YYY$$s expected return is $15\%.3)$ The risk free asset $($treasury bonds$)$ always returns $3\%.$ If there is a $20\%$ chance of a recession and you want a high return in recessions and in booms, which portfolio would you choose?

Question $23$ options:

A$)$

XXX only

B$)$

YYY only

C$)$

The risk free asset only

D$)$

XXX and the risk free asset

E$)$

XXX$,$ YYY$,$ and the risk free asset