Please Explain steps, how and why. Please do not use excel. Q3, 3

The expected return of Security A is 12% with a standard deviation of 15%. The expected return of Security B is 9% with a standard deviation of 10%. Securities A and B have a correlation of 0.4. The market return is 11% with a standard deviation of 13% and the risk- free rate is 4%. Which one of the following is not an efficient portfolio, as determined by the lowest Sharpe ratio? a. 41% in A and 59% B is efficient b. 59% in A and 41% B is efficient X c. 100% invested in A is efficient d. 100% invested in B is efficient