This is the problem from the financial economics.

Problem (10 points) Consider the following utility function introduced in the lecture. U = E(r) - Ao? Suppose there are 3 types of financial securities one can choose to invest in. Expected return and standard deviation of each of these securities are as follows. E(r) = .13;01 = .3 E(T2) = .15;02 = .5 E(rg) = .20;03 = .2 (a) Which of these three securities would a risk averse investor with A = 4 choose to invest, given that she can only invest in one of these three securities? (b) For the same investor (with A = 4), if there is also a risk free asset with expected return 5%, will she invest in the risk free asset or one of those three securities? (c) Which of these three securities would a risk neutral investor choose to invest, given that she can only invest in one of these three securities