Return on the Treasury-bill is 1%. The market portfolio has an expected return of 11% and a standard deviation of 8%. Which of the following portfolio is not a well-diversified portfolio?

A. A portfolio with an expected return of 19.75% and a standard deviation of 15.00%

B. A portfolio with an expected return of 16.00% and a standard deviation of 12.00%

C. A portfolio with an expected return of 13.50% and a standard deviation of 10.00%

D. A portfolio with an expected return of 9.15% and a standard deviation of 8.00%