The market portfolio has an expected return of 10% p.a. and a standard deviation of returns of 20%. The risk-free rate of return is 5% p.a.

An investor is currently holding a market index fund. She is deciding whether to add any of the following stocks to her current holding and has been provided with the following data:

Advise which, if any, of the stocks the investor should add to her portfolios:

Select one: a. Stock A; b. Stock B; c. Stock C. d. Stock D.