John would like to construct his complete investment


Assume that investors can borrow and lend at risk-free rate of 5%. The optimal tangent portfolio on the efficient frontier has an expected return of 15%, and STD of 20%. John would like to construct his complete investment portfolio by allocating funds between the risk-free asset and the optimal tangent portfolio. Which of the following complete portfolios can John NOT achieve?

a. Portfolio A with E(R)=17.5% and STD=25%

b. Portfolio B with E(R)=13% and STD=18% c. Portfolio

C with E(R)=10% and STD=10% d. Portfolio

D with E(R)=5.5% and STD=1% e. None of the above.

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Financial Management: John would like to construct his complete investment
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