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

Multiple Choice

The expected return of Security A is 12 percent with a standard deviation of 15 percent.The expected return of Security B is 9 percent with a standard deviation of 10 percent.Securities A and B have a correlation of 0.4.The market return is 11 percent with a standard deviation of 13 percent and the risk-free rate is 4 percent.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