Portfolio 1 has a 30% chance of earning a 20% rate of return, and a...
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Portfolio 1 has a 30% chance of earning a 20% rate of return, and a 60% chance of earning a 10% rate of return, and 10% chance of earning a 0% rate of return. Portfolio 2 has a 60% chance of earning a 15% rate of return, and a 40% chance of earning a 7.5% rate of return. T-bills earn 12% rate of return. Which of the following statements is (are) true? Statement 1: An investor with a risk-aversion coefficient of 2.5 will invest in Portfolio 1 instead of Portfolio 2. Statement 2: An investor with a risk-aversion coefficient of 2.5 will invest in Portfolio 2 instead of Portfolio 1. Statement 3: An investor with a risk-aversion coefficient of 2.5 will not invest in Portfolio 1 or Portfolio 2. Statement 4: An investor with a risk-aversion coefficient of 2.5 will invest in a combination of Portfolio 1 and T-bills. Statement 5: An investor with a risk-aversion coefficient of 2.5 will invest in a combination of Portfolio 2 and T-bills
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