A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. Your analysis indicates that the Sharpe ratio of the most efficient portfolio is 0.3154. Therefore, the equation of the most efficient CAL is as shown below.

E(r_C )=5.5+0.3154_C.

Suppose that your client wants a portfolio that yields an expected return of 15% and be efficient, that is, on the best feasible CAL. What is the standard deviation of the clients portfolio?

A. 20.61% B. 59.34% C. 24.53% D. 31.71%