Mr. Chen has $3 m to invest. There are only two choices available: i. a risky asset P with an expected rate of return of 10% and a standard deviation of 10%; ii. a risk-free bank account with 4% deposit rate. Now suppose Mr. Chen's utility is given by U = E(r) - 0.5 Aoc and A = 12. Which of the following is/are correct? [Hint: y* = (E(rp)- rp)/Aop1 1. Mr. Chen should invest $1.5m in P to maximize his utility. II. The E(r) of Mr. Chen's complete portfolio would be 7% if he allocates his assets to maximize his utility III. The standard deviation (s) of Mr. Chen's complete portfolio would be 5% if he allocates his assets to maximize his utility Select one: O a. One of the above only O b. I and II only O c. I and Ill only O d. Il and Ill only O e. I, II and