An investor chooses a portfolio comprising a risk-free asset, yielding r0=2%, and a single risky asset with expected rate of return Z=6%, and standard deviation of return Z=0.1, to maximize the objective function, P5P2, where P is the expected rate of return on the portfolio and P2 is the variance of the rate of return on the portfolio. A. The proportion of the portfolio invested in the risk-free asset equals 0.40. B. The proportion of the portfolio invested in the risk-free asset equals 0.60. C. The proportion of the portfolio invested in the risky asset equals 0.60. D. The proportion of the portfolio invested in the risky asset equals 0.06, (i.e., 6\%). E. None of the above