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;...

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