Reference no: EM131530863

Based on the outcomes in the following table, choose which of the statements below is are) correct? Scenario Security A Security B Security C Recession. Return ECO Return Er Return KEC) Normal Return En Return Er Return E(r) Boom Return <E(r) Return Er Return EEK) I. The covariance of security A and security B is zero. II. The correlation coefficient between securities A and C is negative III. The correlation coefficient between securities B and C is positive A. I only B. I and II only C. II and III only D. I, II, and III 2. 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.