Suppose John is a rational investor. If he could only choose one investment, based on the data below, he prefers Investment to the other 3 choices. Investment (r) Standard Deviation 0.12 0.30 0.15 0.50 0.16 D 0.24 0.21 0.21 U = E(r) - (A/2)02 Which of the following statements is/are correct? 1) Since John prefers Investment D which has the highest standard deviation, he must be risk loving II) John's coefficient of risk aversion (A) must be less than 3.3 III) If John's coefficient of risk aversion (A) were 3.5, he would prefer Investment C to the other 3. Select one: a. One of the above only b. I and II only c. I and III only d. Il and III only e. I, II and