Consider a risky portfolio, A, with an expected rate of return of 0.18 and a standard deviation of 0.18, that lies on a given indifference curve. Which one of the following portfolios might lie on the same indifference curve for a risk-averse investor with a mean-variance utility function? 

a. Expected return = 0.17; Standard deviation = 0.18

b. Expected return = 0.18; Standard deviation = 0.25

c. Expected return = 0.20; Standard deviation = 0.20

d. Expected return = 0.18; Standard deviation = 0.15

e. Expected return = 0.12; Standard deviation = 0.18

Answer rating: 100% (QA)

For a riskaverse investor they will remain on the same indifference curve only if they can achieve t... View the full answer