Suppose you are to form an efficient frontier with four risky securities A$,$ B$,$ C$,$ and D$.$ Which one of the securities definitely cannot be on the efficient frontier? Hint: answering this problem does not require calculation. It may help you see if you plot the expected returns against the standard deviations.

Security

Expected Return

Standard Deviation

A

$9\%$

$21\%$

B

$5\%$

$7\%$

C

$15\%$

$36\%$

D

$12\%$

$15\%$

A

B

C

D