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Yesterday, Andrew Lo spent some time on a nice graph, discussing attitudes towards risk. Here are four assets (thanks @TCJUK for improving the terminology), real data (no information here about time, but it's the same scale for the four of them)The question raised was quite simpleif you could invest in one, and only one, asset which one will you pick ?I did ask the question on Twitter, after the talk. And I got the following stats (based on 150 votes)The assets were here, respectively green = U.S. Treasury Bills  red = Stock Market (SP500)  black = Fairfield Sentry blue = Pfizer (single stock)The black curve was for a firm that had among the largest exposures to the Bernard Madoff fraud. And here are the curves (again, real data)Now, if you think about it, it is kind of odd that almost 60% people pick the black one. In a real market, how can we get at the same time the black and the green curve. They both had no risk, and very different return. The black curve has the same return as the SP500 index, without any risk. That should be seen as odd.... Of course, it's easy to comment, once you see the data, but still.Added on March 8th 2018: a few weeks ago, @ordrespontane tried the same experience on Twitter, and he got 1150 votes. Interestingly, he obtained similar results, with 60% for the black curve, then a bit less than 20% for the red one, almost 15% for the red one...