Use the following information to answer the question(s) below.

Your investment portfolio consists of $10,000 worth of Google stock. Suppose that the

riskminusfree

rate is 4%, Google stock has an expected return of 14% and a volatility of 35%, and the market portfolio has an expected return of 12% and a volatility of 18%. Assume that the CAPM assumptions hold.

The volatility of the alternative investment that has the lowest possible volatility while having the same expected return as Google is closest to:

A.

18.0%.

B.

22.5%.

C.

35.0%.

D.

23.4%.