You invest $100 in a risky asset with an expected rate of return of 0.14and a standard deviation of 0.20 and a T-bill with a rate of return of 0.03. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.10?

a) 85% and 15%

b) 36.64% and 63.36%

c) 75% and 25%

d) Cannot be determined.

e) 57% and 43%