单选题 An investor is evaluating the following possible portfolios. Which of the following portfolios would not 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、 A, E, and F.
C、 B, C, and F.

【正确答案】 C

【答案解析】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.