You just construct a portfolio AJ where you invest $1000 in Security A and $4000 in Security J. The portfolio has an expected return of 0.22 and a variance of 0.0016. Which of the following security is a worse investment than Portfolio AJ?

Select one:

a. Security P that has a CV of 0.25

b. Security X that has an expected return of 20%

c. Security Z that has a SD of 0%

d. Security F that has a CV of 0.10

e. Security Y that has a SD of 5%