Consider a treasury bill with a rate of return of 3% (rf=3%) and the following risky securities. (St.Dev. means standard deivation here).

• Security A: E(r)=15%; St.Dev.=20%
• Security B: E(r)=10%; St.Dev.=15%
• Security C: E(r)=12%; St.Dev.=18%
• Security D: E(r)=13%; St.Dev.=25%
• Security E: E(r)=18%; St.Dev.=30%

The investor must develop a complete (composite) portfolio by combining the risk-free asset with one of the securities mentioned above. The security the investor should choose as part of his complete portfolio to achieve the highest Sharpe Ratio would be Security _____.

• A. A
• B. B
• C. C
• D. D
• E. E