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? $$\begin{array} { c r r } \text { Portfolio } & \begin{array} { r } \text { Expected } \\\text { Return }\end{array} & \begin{array} { r } \text { Standard } \\\text { Deviation }\end{array} \\\text { W } & 9 \% & 21 \% \\\text { X } & 5 \% & 7 \% \\\text { Y } & 15 \% & 36 \% \\\text { Z } & 12 \% & 15 \% \\\hline\end{array}$$

A) Only portfolio A cannot lie on the efficient frontier.
B) Only portfolio B cannot lie on the efficient frontier.
C) Only portfolio C cannot lie on the efficient frontier.
D) Only portfolio D cannot lie on the efficient frontier.
E) Cannot be determined from the information given.