Question: Investments B and C both have the same standard deviation of 20% and have the same correlation to the market portfolio. If the expected return

Investments B and C both have the same standard deviation of 20% and have the same correlation to the market portfolio. If the expected return on B is 15% and that of C is 18%, then the investors would:

A. Prefer C to B

B. Prefer B to C

C. Reject Both B and C

D. Unknown

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