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Consider a treasury bill with a rate of return of 5% and the following risky...

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Finance

Consider a treasury bill with a rate of return of 5% and the following risky securities: Security A: E(r) = .15; variance = .1000 Security B: E(r) = .11; variance = .0256 Security C: E(r) = .12; variance = .0400 Security D: E(r) = .12; variance = .0625 The investor must develop a complete portfolio by combining the risk-free asset with one of the securities mentioned above. The security the investor should choose as part of his complete portfolio to achieve the best CAL would be _________.

security A

security B

security C

security D

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