Assume a risk-neutral investor who wants to maximize her
expected utility. Which one of the following investment alternatives would she
choose?

Question

Answer

A portfolio that pays 12%
with 60% probability or 5% with 40% probability.

Answer

A portfolio that pays 10%
with 40% probability or 5% with a 60% probability.

Answer

A portfolio that pays 10%
with a 60% probability or 5% with 40% probability.

Answer

A portfolio that pays 12%
with 40% probability or 5% with 60% probability.

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