The table below lists the expected returns and standard deviations of eight portfolios.

	A	B	C	D	E	F	G	H
Expected return %	10	12.5	15	16	17	18	18	20
Standard deviation %	23	21	25	29	29	32	35	45

aOnly five of these portfolios are mean-variance efficient. Which are the inefficient ones ?

(b) Suppose you can borrow and lend at the risk-free interest rate of 12%. Which of the above portfolios is best?

(c) What is your optimal strategy if you can borrow or lend at 12% and are prepared to tolerate a standard deviation of 25% ? What is the maximum expected return that you chan achieve with this risk?