Assume three securities have the same expected return and standard deviation. You are considering equal investment is two of the securities. Covariances are as follows: A with B = .032; A with C = 0; B with C = -.40. Which combination, if any, would you recommend holding due to the highest Sharpe ratio that would result from the combination?

A) A and B

B) B and C

C) A and C

D) Cannot determine with information provided.