Suppose you have two assets. There is a risk-free investment that yields a return of 2% and a risky asset that has an expected return of 10% and a standard deviation of 15%. How much risk in terms of standard deviation do you have to incur if you want to achieve an expected return of 8%? What are the portfolio weights?

a) Weight in the risky asset = 0.25, Standard deviation = 11.25%

b) Weight in the risky asset = 1.25, Standard deviation = 11.25%

c) Weight in the risky asset = 0.75, Standard deviation = 8.75%

d) Weight in the risky asset = 0.75, Standard deviation = 11.25%

e) None of the above.