The Distributions of Rates of Return for Companies AA and BB

True/False

The distributions of rates of return for Companies AA and BB are given below: $\begin{array}{llrr}\text { State of the } & \text { Probability of } \\\text { Economy } & \text { This State Occurring }&AA&BB\\\text { Boom } & 0.2 & 30 \% & -10 \% \\\text { Normal } & 0.6 & 10 \% & 5 \% \\\text { Recession } & 0.2 & -5 \% & 50 \%\end{array}$ We can conclude from the above information that any rational, risk-averse investor would be better off adding Security AA to a well-diversified portfolio over Security BB.