Asset a Has an Expected Return of 15% and a Reward-To-Variability

Multiple Choice

Asset A has an expected return of 15% and a reward-to-variability ratio of .4. Asset B has an expected return of 20% and a reward-to-variability ratio of .3. A risk-averse investor would prefer a portfolio using the risk-free asset and ________.

A) asset A
B) asset B
C) no risky asset
D) The answer cannot be determined from the data given.