Question #13 of 37 The following information is available regarding corner portfolios from an efficient frontier: Asset Class Weights Corner Portfolio Expected Return Exp. Std. Dev. Sharpe Ratio 1 2 3 5 1 14.00% 18.00% 0.639 0.00% 0.00% 100.00% 0.00% 0.00% 2 13.66% 16.03% 0.696 0.00% 0.00% 86.36% 0% 14.00% 3 13.02% 13.58% 0.775 21.69% 0.00% 56.56% 0.00% 21.76% 4 12.79% 13.00% 0.792 21.48% 0.00% 52.01% 5.24% 21.27% 5 10.54% 8.14% 0.988 9.40% 51.30% 26.55% 0.00% 12.76% 6 8.70% 6.32% 0.981 0.00% 89.65% 4.67% 0.00% 5.68% The following portfolios are under consideration by an investor: Portfolio Expected Return A 11.0% B 13.5% For an investor with a risk-aversion of 6, which portfolio would have the highest utility? A) Portfolio A with a utility of 0.085. B) Portfolio A with a utility of 0.092. C) Portfolio B with a utility of 0.115