The Expected Return of the Market Portfolio Is 14 Percent

Multiple Choice

The expected return of the market portfolio is 14 percent with a standard deviation of 25 percent.The risk-free rate is 6 percent.What would be the weight of the market portfolio in an efficient portfolio with a standard deviation of 30 percent,if borrowing is not allowed?

A) 16.78%
B) 83.33%
C) 20%
D) Cannot be constructed