The Expected Return of Security a Is 12% with a Standard

Multiple Choice

The expected return of Security A is 12% with a standard deviation of 15%.The expected return of Security B is 9% with a standard deviation of 10%.Securities A and B have a correlation of 0.4.The market return is 11% with a standard deviation of 13% and the risk-free rate is 4%.Which one of the following is not an efficient portfolio, as determined by the lowest Sharpe ratio?

A) 100% invested in A is efficient
B) 100% invested in B is efficient
C) 41% in A and 59% B is efficient
D) 59% in A and 41% B is efficient