Question: Asset A's log-returns are normally distributed with mean 10% and standard deviation of 30%. Asset B's log-returns are normally distributed with mean 5% and standard

Asset A's log-returns are normally distributed with mean 10% and standard deviation of 30%. Asset B's log-returns are normally distributed with mean 5% and standard deviation of 10%. Assume that the correlation between the log-returns of these two assets is 0. The investor maximizes the expected utility of terminal wealth where the utility function is U(W) = 2W0.5. The investor has an investment horizon of 2 years. Portfolio X allocates 40% to Asset A and 60% to Asset B and Portfolio Z allocates 20% to Asset A and 80% to Asset B. Which portfolio is more preferable to the investor? Group of answer choices Portfolio X Portfolio Z

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