Assume a perfect capital market in which investors are constrained to holding portfolios that consist only of a single risky asset, that borrowing or lending at a riskless interest rate is possible, and that in equilibrium the following holds:

Security $i$:$,r_i=26\%,$ sigma ${?}_i=15\%$

Security j: $,r_j=18\%,$ sigmaj $=9\%$

Which of the following is a possible investment strategy for an investor who wishes to hold a portfolio with a standard deviation of $6\%?$

$30\%$ invested in the risk$-$free and $70\%$ in security j

$60\%$ invested in the risk$-$free and $40\%$ in security $i$

$50\%$ invested in the risk$-$free and $50\%$ in security $i$

$40\%$ invested in the risk$-$free and $60\%$ in security $i$