Consider the Following Statements When Answering This Question: I

Multiple Choice

Consider the following statements when answering this question: I. The allocation of a risk-averse investor's portfolio between a risk free asset and a risky asset never changes if the rate of return on both assets increases by the same amount.
II) Given the choice between investing in a risk free asset or a risky asset with higher expected returns, the utility maximizing portfolio of a risk neutral or risk loving investor would never include the risk free asset.

A) I and II are true.
B) I is true and II is false.
C) I is false and II is true.
D) I and II are false.