While Portfolio Z Has a Return of 15% with a Standard

Multiple Choice

While portfolio Z has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the percentage of portfolio Z will be included in the M² hypothetical portfolio?

A) Undetermined
B) 10%
C) 30%
D) 75%
E) 25%