You manage a risky portfolio with an expected rate of return of 21% and a standard deviation of 33%. The T-bill rate is 8% Suppose the client prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall (complete) portfolio's standard deviation will not exceed 23%. Which of the following is closest to the investment proportion, y, in the risky portfolio?

69.70%

72.30%

75.35%

65.50%

63.40%

None of the above