Gibson (2000) Studied the Effects of Using Multiple Asset Classes

Gibson (2000) studied the effects of using multiple asset classes (2, 3 or 4 asset classes) for portfolio investing. He concluded that:

A) by using a combination of all 4 asset classes over a period of time an investor would achieve the highest long-term average return but it would have a higher level of risk than other asset class combinations.
B) by using a combination of 3 asset classes over a period of time an investor would achieve the highest long-term average return with a lower level of risk than other asset class combinations.
C) by using a combination of 2 asset classes over a period of time an investor would achieve the highest long-term average return with the lowest level of risk.
D) by using a combination of all 4 asset classes over a period of time an investor would achieve the highest long-term average return with a lower level of risk than other asset class combinations.