Question $11$

All$-$in$-$one funds offers three asset allocation funds: Aggressive, Moderate, and Conservative with means $($technically the log of the

expected gross returns$)$ of $7\mathrm{.}2\%,6\mathrm{.}4\%,$ and $5\mathrm{.}6\%,$ respectively, and standard deviations of $12\mathrm{.}59\%,10\mathrm{.}28\%,$ and $8\mathrm{.}17\%,$ respectively. It

also offers an all$-$stock portfolio with mean of $8\mathrm{.}0\%$ and volatility of $15\%.$ If Joan has constant relative risk aversion $=2$ and uses the

basic mean$-$variance model, she is most likely to choose the:

Select one

A$.$ Conservative portfolio

B$.$ Moderate portfolio

C$.$ Aggressive portfolio

D$.$ All$-$stock portfolio