单选题 An investor is evaluating the following possible portfolios. Which of the following portfolios would not lie on the efficient frontier?

A、 Portfolio
B、 Expected Return
C、 Standard Deviation
D、 A
E、 26%
F、 28%
G、 B
H、 23%
I、 34%
J、 C
K、 14%
L、 23%
M、 D
N、 18%
O、 14%
P、 E
Q、 11%
R、 8%
S、 F
T、 18%
U、 16%

【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.