**Question 877** arithmetic and geometric averages, utility, utility function

Gross discrete returns in different states of the world are presented in the table below. A gross discrete return is defined as ##P_1/P_0##, where ##P_0## is the price now and ##P_1## is the expected price in the future. An investor can purchase only a single asset, A, B, C or D. Assume that a portfolio of assets is not possible.

Gross Discrete Returns |
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In Different States of the World |
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Investment | World states (probability) | |

asset | Good (50%) | Bad (50%) |

A | 2 | 0.5 |

B | 1.1 | 0.9 |

C | 1.1 | 0.95 |

D | 1.01 | 1.01 |

Which of the following statements about the different assets is **NOT** correct? Asset: