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Ahighlyrisk-averseinvestorisconsideringtheadditionofanassettoherportfolio.Thetwosecuritiesunderconsiderationbothhaveanexpectedreturnequalto15%.However,thedistributionofpossiblereturnsassociatedwithAssetAhasastandarddeviationof12%,whileAssetB'sstandarddeviationis8%.Bothassetsarecorrelatedwiththemarketwithacorrelationcoefficientof+0.75.Whichassetshouldtheinvestoraddtoherportfolio?Selectone:

题型：单选题

选项

A. Asset A

B. Asset B

C. Both A and B

D. Neither A nor B

E. Cannot tell without more information

正确答案：B