A friend developed a portfolio that earns an expected return of 22%22% and has a return standard deviation of 36%36%. You say that you can obtain the same expected return using the risk-free rate and market portfolio. Assume that the risk-free rate is 2.6%2.6%, the market return is 15.9%15.9%, and the market volatility is 25%25%. How much should you invest in the risk-free asset of an optimal portfolio to obtain the same expected return?

a.

-145.86%

b.

145.86%

c.

-45.86%

d.

45.86%