QUESTION 13 The following assets are available, Asset Expected Return Standard Deviation Beta Stock A 12.5% 16% 1.5 Portfolio XYZ 2396 50% 3 Market Portfolio 99 14% 1 T-bills 296 0% mo Your risk aversion coefficient is A=5. What is the optimal portfolio for a CAPM investor? A. 10% in the market portfolio and 90% in T-bills O 0.71% in the market portfolio and 29% in T-bills O C. Not enough information OD. 100% in the Market Portfolio E. 50% in the market portfolio, 50% in the T-bills. OF. 100% in Stock A G. An equally weighted portfolio of A, XYZ and the Market Portfolio H.92% in the market portfolio and 8% in T-bills