Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz?

Portfolio Expected Return Standard Deviation

A 6% 7%

B 16% 36%

C 13% 15%

D 10% 20%

Select one:

a)

Only portfolio B cannot lie on the efficient frontier.

b)

Only portfolio C cannot lie on the efficient frontier.

c)

Cannot tell from the information given

d)

Only portfolio D cannot lie on the efficient frontier.

e)

None of the alternatives.

f)

Only portfolio A cannot lie on the efficient frontier.