83. Ingrid Jolley, CFA, has put together a constrained efficient frontier (no short sales) of five risky assets based on expected returns, volatility, and correlations of the risky assets. Asset E has the highest expected return and standard deviation of returns of 13.5% p.a. and 16.2% p.a. However, Jolley wishes to put together a portfolio with an expected return greater than 13.5% p.a. but with an expected volatility of no more than 13.5% p.a. This objective might best be achieved by:

    1. borrowing and investing in Asset E.

    2. including a long position in the risk-free asset.

    3. borrowing and investing in a portfolio of the risk assets.