You're considering forming a risk-free portfolio composed of two assets with the following information. Under which scenario will you reach your goal?

Asset AAsset BExpected Return10%15%Standard Deviation20%30%

Question options:

a

Correlation (A,B) = -1; Weight (A) = 40%.

b

Correlation (A,B) = 0; Weight (A) = 40%.

cCorrelation (A,B) = 0; Weight (A) = 60%.dCorrelation (A,B) = -1; Weight (A) = 60%.eCorrelation (A,B) = 1; Weight (A) = 40%.