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8) A portfolio contains three securities: There also exists a risk-free asset with an expected return of 6.7% p.a. Now the investor wants to combine

image text in transcribed 8) A portfolio contains three securities: There also exists a risk-free asset with an expected return of 6.7% p.a. Now the investor wants to combine the original three-asset portfolio and the risk-free asset into a new portfolio that provides an expected return of 24.3% p.a. Is this possible? How? A. No B. Yes, invest an amount equal to 123.5% in the risk-free asset, and borrow 23.5% at the risk-free rate C. Yes, borrow (at the risk-free rate) an amount equal to 123.5% of their investment, so that 223.5% can be invested in the risky three-asset portfolio D. Yes, invest 12.35% in the risk-free asset, so that 87.65% can be invested in the risky three-asset portfolio E. Yes, borrow (at the risk-free rate) an amount equal to 123.5% of their investment, so that 123.5% can be invested in the risky three-asset portfolio

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