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Imagine a world with 3 investment options. You have the following information: Beta 0.15 0.45 0.60 E[r] 4.0% 5.5% 5.5% Investment #1 #2 #3 Name Expected 12.0% 20.0% 10.0% Portfolio A Portfolio B Portfolio C Assume the risk-free rate is 3%. The expected return of the market portfolio is 8.2% and the standard deviation of the market portfolio is 14.7% a. What are the Trevnor measures for each of the three investments options in the table? b. What are the M measures for each of the three investments options in the table? c. You want to invest all your wealth in one portfolio. In which portfolio should you invest? Explain Imagine a world with 3 investment options. You have the following information: Beta 0.15 0.45 0.60 E[r] 4.0% 5.5% 5.5% Investment #1 #2 #3 Name Expected 12.0% 20.0% 10.0% Portfolio A Portfolio B Portfolio C Assume the risk-free rate is 3%. The expected return of the market portfolio is 8.2% and the standard deviation of the market portfolio is 14.7% a. What are the Trevnor measures for each of the three investments options in the table? b. What are the M measures for each of the three investments options in the table? c. You want to invest all your wealth in one portfolio. In which portfolio should you invest? Explain