Investors' optimal allocation between the risky and risk-free assets is done by utility maximization. Which of the following statements regarding the optimal allocation to the risky asset is false? A B The investors' optimal allocation to the risky asset decreases with the risk The investors' optimal allocation to the risky asset decreases with the risk premium The investors' optimal allocation to the risky asset decreases with the risk aversion The investors' optimal allocation to the risky asset increases with the Sharpe ratio C D Hint: Investors decide how much (y) to invest to the risky asset to maximize their utility 1 max U = rx +y(E[ro] rs) 3 Ay292 The resultant solution y*, i.e., the utility maximizer, looks like the following. 1 Sharpe Ratio X Erp] rf y*