31.Consider the market where the lending risk-free rate is 2% and borrowing risk-free rate is 5%. Michael and Meryl have the positions in AC stock and T-bills. They do not trade any other securities. Michael lends 40% in his optimal complete portfolio and Meryl borrows 20% in her optimal complete portfolio. The coefficients of risk aversions of Michael and Meryl are 6 and 2, respectively. What are the expected rate of return and the standard deviation of the rate of return of AC stock?

a. E(r)=11%, _r=15.8%

b. E(r)=15%, _r=25%

c. E(r)=9%, _r=24%

d. Cannot be determined

e. E(r)=12%, _r=18.3%