Question 3 (12 marks) CBA shares are currently trading at a price of $105. Two different investors have a holding period of three months and $10,500 to invest. They make the following decisions:

a) Clive decides to buy CBA shares using a margin loan, with a 50% margin.

b) Scott decides to short-sell CBA shares with a 50% margin.

c) Anthony decides to buy CBA shares without margin. There is a 50% change of the CBA share price rising to $120 in three months and a 50% chance of the CBA share price falling to $90 in three months. The maintenance margin is 30%. The interest rate for borrowing on margin over three months is 3% (i.e. 12% per annum). CBA is not expected to pay any dividends in the next three months. Based on the above information, which investor has the lowest expected return? Why?