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

Security A:E(r) = .15; variance = .0400

Security B:E(r) = .14; variance = .0225

Security C:E(r) = .15; variance = .1000

Security D:E(r) = .16; 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 ________.

Select one:

a.security A

b.security B

c.security C

d.security D

I can't seem to figure out, somethings not matching for me.