Security a Offers an Expected Return of 14%, with a Standard

Multiple Choice

Security A offers an expected return of 14%, with a standard deviation of 8%. Security B offers an expected return of 11%, with a standard deviation of 6%. If you wish to construct a portfolio with a 12.8% expected return, what percentage of the portfolio will consist of security A?

A) 55%
B) 60%
C) 65%
D) 45%