Which One of the Following Portfolios Cannot Lie on the Efficient

Multiple Choice

Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz? $\begin{array}{ccc}\underline{\text { Portfolio }} &\underline{ \text { Expected Return} } & \underline{\text { Standard Deviation} } \\ \mathrm{W} & 9 \% & 21 \% \\\mathrm{X} & 5 \% & 7 \% \\\mathrm{Y} & 15 \% & 36 \% \\\mathrm{Z} & 12\%& 15 \%\end{array}$

A) Only portfolio W cannot lie on the efficient frontier.
B) Only portfolio X cannot lie on the efficient frontier.
C) Only portfolio Y cannot lie on the efficient frontier.
D) Only portfolio Z cannot lie on the efficient frontier.
E) Cannot tell from the information given.