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Consider a T-bill with a rate of return of 5% and the following risky securities: Security...

Consider a T-bill with a rate of return of 5% and the following risky securities:

Security A: E(r) = 0.15; Variance = 0.04
Security B: E(r) = 0.10; Variance = 0.0225
Security C: E(r) = 0.12; Variance = 0.01
Security D: E(r) = 0.13; Variance = 0.0625

From which set of portfolio, formed with the T-bill and any one of the four risky securities, would a risk-averse investor always choose his portfolio?

Portfolio formed with C and T-bill
Portfolio formed with D and T-bill
Portfolio formed with B and T-bill
Portfolio formed with A and T-bill
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