試題詳解

1.(4%) Consider a T-bill with a rate of return of 3% and the following risky securities: Security A: E(r) = 18%； Variance = 0.5 Security B: E(r) = 12%； Variance = 0.16 Security C: E(r)= 15%； Variance = 0.25 Security D: E(r) = 14%； Variance = 0.36 If a risk-averse investor would like to hold a complete portfolio formed with the risk-free asset and any one of the four risky securities, which set of portfolios will the investor always choose?
(A) The set of portfolios formed with the T-bill and security A.
(B) The set of portfolios formed with the T-bill and security B.
(C) The set of portfolios formed with the T-bill and security C.
(D) The set of portfolios formed with the T-bill and security D.
(E) Cannot be determined.