If an investor has mean$-$variance utility $U=E(r)-$

$(\frac{A}{2}{)}^{**}$ sigma ${?}^2$ and $A=0,$ then

None of the provided answers is correct.

if returns are "close" to the arithmetic average $($that

is$,$ if the variance is small$),$ the investor chooses a

portfolio that maximizes the geometric average

the investor does not want to take any risk $($no

matter what the reward for risk is$)$

the investor chooses a portfolio that maximizes the

geometric average