5. A risk averse investor holds a portfolio with expected return 15% and standard deviation 28%. The risk-free rate is 9%. Are there any conditions where the investor would add a stock with an expected return of 6% and a standard deviation of 15% to her portfolio? (a) No, since the stock is risky and has a lower return than the risk-free asset (b) Yes, as long as the stock has low enough correlation with the rest of the portfolio (0) No, since the Sharpe ratio of the stock is lower than that of the current portfolio ((1) Yes, since the optimal risky portfolio always includes all available securities