Consider a T$-$bill with a rate of return of $5$ percent and the following risky securities:

Security $A$:$E(r)=0\mathrm{.}15$; Variance $=0\mathrm{.}04$

Security $B$:$E(r)=0\mathrm{.}10$; Variance $=0\mathrm{.}0225$

Security $C$:$E(r)=0\mathrm{.}12$; Variance $=0\mathrm{.}01$

Security D: $E(r)=0\mathrm{.}13$; Variance $=0\mathrm{.}0625$

From which set of portfolios, formed with the T$-$bill and any one of the $4$ risky securities$,$ would a riskaverse

investor always choose his portfolio?

The set of portfolios formed with the T$-$bill and security A

The set of portfolios formed with the T$-$bill and security B

The set of portfolios formed with the T$-$bill and security C

The set of portfolios formed with the T$-$bill and security D

Cannot be determined