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An investor is evaluating the following possible portfolios. Which of the following portfolios would least likely lie on the efficient frontier?

Portfolio Expected Return Standard Deviation

A 26% 28%

B 23% 34%

C 14% 23%

D 18% 14%

E 11% 8%

F 18% 16%

A. C, D, and E.
B. B, C, and F.
C. A, B, and C.

答案解析：

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Portfolio B cannot lie on the frontier because its risk is higher than that of Portfolio A's with lower return. Portfolio C cannot lie on the frontier because it has higher risk than Portfolio D with lower return. Portfolio F cannot lie on the frontier cannot lie on the frontier because its risk is higher than Portfolio D.

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