Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 10% and a standard deviation of 16%. B has an expected rate of return of 8% and a standard deviation of 12%. An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must:

A. lend some of her money at the risk-free rate.

B. borrow some money at the risk-free rate and invest in the optimal risky portfolio

C. invest only in risky securities

D. such a portfolio cannot be formed

E. both borrow some money at the risk-free rate and invest in the optimal risky portfolio and invest only in risky securities