1. Refer to Figure 1, where A and F are two diversified asset portfolios and curve ABCDEF is an opportunity set created by varying the asset allocation ratio between A and F, with B = the minimum variance portfolio, rF = expected return of riskless T-bills, and rB = nominal risk free rate for borrowers who have no access to rF. The most desirable portfolio based on the reward/risk (Sharpe) ratio for an investor with risk-reward utility curve of J is:

   		G
   		D
   		E
   		C