Suppose that you are managing a pension fund. The fund consists of risky investments, but the fund is not allowed to invest in the risk-free asset. However, the pensioners can invest in (or borrow) the risk-free asset themselves. Which of the following parameters do you not need in order to make your investment decisions?

A) Risk-aversion of your clients (pension fund shareholders).

B) Risk-free rate.

C) Expected returns of assets under management.

D) Volatilities of assets under management.

E) Correlations among the assets under management.