You have $100,000 to invest and decide to invest in a combination of a riskless asset (f), a stock index fund (S), and a long-term bond fund (B), with the following properties: E(r) Riskless Asset (f)0.05 (5%)0.00Stock index fund (S)0.120.19Long-term bond fund (B)0.0550.10The correlation of the returns on the long-term bond fund and the stock index fund is equal to 0.3.10. From the portfolios below which one do you think is the closest to the tangency portfolio:

A. 60% on S and 40% on B (Assume that theof this portfolio is 13.17%)

B. 30% on S and 70% on B (Assume that theof this portfolio is 10.27%)

C. 90% on S and 10% on B (Assume that theof this portfolio is 17.43%)

D. 20% on S and 80% on B (Assume that theof this portfolio is 9.83%)