Consider a T-bill with a rate of return of 5% and the following risky securities: Security A: E(r) = 0.15; Standard Deviation = 0.20 Security B: E(r) = 0.10; Standard Deviation = 0.15 Security C: E(r) = 0.09; Standard Deviation = 0.10 Security D: E(r) = 0.13; Standard Deviation = 0.25 From which set of portfolios, formed with the T-bill and any one of the four risky securities, would a risk-averse investor always choose his portfolio?

Select one:

A.

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

B.

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

C.

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

D.

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

E.

Cannot be determined.