Question: For an investor whose utility function is written as U = E(R) - 2(sigma)^2, the investment A has the following properties: E(RA) = 12% and

For an investor whose utility function is written as U =

For an investor whose utility function is written as U = E(R) - 2(sigma)^2, the investment A has the following properties: E(RA) = 12% and sigmaa = 20%. Suppose that another investment, noted B, is located on the same "indifference curve" as the investment A of this investor. If E(RB) = 22%, then sigmag should be equal to: Select one: O a. 40% O b. 30% C. 20% d. 35% e. 25%

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