investor holds portfolio P that is comprised from two risky securities X and Y. The expected returns of securities X and Y are 10% and 20%, respectively. Is it possible for portfolio P to have the expected return of 5%? If so, what position an investor must have in securities X and Y?

a.

It is possible. An investor must be long in both securities

b.

It is possible. An investor must be long in security Y and short in security X

c.

It is not possible

d.

It is possible. An investor must be short in both securities

e.

It is possible. An investor must be long in security X and short in security Y