An investment opportunity set may be created by:

a. Investing in a combination of risky secruties and a riskless asset and cacluating the expected return and standard deviation of returns for the resulting portfolio.

b. Changing the proportions of money invested in two or moreris risky securities and calculating the individual security HPRs for the resulting portfolios.

c. Changing the proportions of money invested in two or more risky securities and calculating the portfolio expected return and standard deviation of returns for each resulting portfolio.

d. Changing the proportion of money invested in a riskless asset and calculating the expected return and standard deviation of returns for the resulting portfolios.