Question
Investors can invest in a risk-free asset and a risky portfolio constructed out of 3 risky assets. Sara is more risk-averse than Brian. Both Sara
Investors can invest in a risk-free asset and a risky portfolio constructed out of 3 risky assets. Sara is more risk-averse than Brian. Both Sara and Brian make the optimal portfolio choice. Which of the following statements is true?
Saras optimal complete portfolio has a higher Sharpe ratio than that of Brians.
Sara and Brian will pick the same optimal risky portfolio.
Saras optimal risky portfolio will have a lower standard deviation compared to that of Brians.
Compared to Brian, Sara puts a smaller fraction of her total investment money into the risk-free asset.
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