Why the correct answer is B?

2. Assume that investors can borrow and lend at risk-free rate of 5%. The optimal tangent portfolio on the efficient frontier has an expected return of 15%, and STD of 20%. John would like to construct his complete investment portfolio by allocating funds between the risk-free asset and the optimal tangent portfolio. Which of the following complete portfolios can John NOT achieve? A. B. C. D. E. Portfolio A with E(R)-17.5% and STD=25% Portfolio B with E(R)-13% and STD-18% Portfolio C with E(R)-10% and STD-10% Portfolio D with E(R)-5.5% and STD-1% None of the above