Suppose Sarah can borrow and lend at the risk free-rate of 3%. Which of the following four risky portfolios should she hold in combination with a position in the risk-free asset?

a. portfolio with a standard deviation of 15% and an expected return of 12%

b. portfolio with a standard deviation of 19% and an expected return of 15%

c. portfolio with a standard deviation of 25% and an expected return of 18%

d. portfolio with a standard deviation of 12% and an expected return of 9%