28

Option C is incorrect

A risk-averse investor can borrow and lend at the risk-free rate of 5%. Which of the following risky portfolios should s/he hold in combination with a position in the risk-free asset? portfolio with a standard deviation of 12% and an expected return of 16% (option A) portfolio with a standard deviation of 14% and an expected return of 16% (option B) portfolio with a standard deviation of 16% and an expected return of 14% (option C) any of A,B or C none among A,B and C