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

Security A: E(r)= .16; variance = .0400 Security B: E(r) = .10; variance =.0225

Security C: E(r)= .12; variance = .1000 Security D: E(r)= .14; variance = .0625

The investor must develop a complete portfolio by combining the risk-free asset with one of the securities mentioned above. The security the investor should choose as part of her complete portfolio to achieve the best CAL would be (Security A,B,C or D)_. ( Hint: for full credit you should provide your numerical evidence).