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

Security A: E(r) = 0.15; Variance = 0.044

Security B: E(r) = 0.11; Variance = 0.022

Security C: E(r) = 0.12; Variance = 0.034

Security D: E(r) = 0.13; Variance = 0.043

Security E: E(r) = 0.14; Variance = 0.036

From which set of the following 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:

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

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