You are a risk averse investor with a risk aversion of A = 3. You are currently considering between investing in Treasury bills which pay 4% per year and a risky portfolio with a standard deviation of 24%. You will only invest in the risky portfolio if the expected return is at least
a) 8.67%
b) 9.84%
c) 12.64%
d) 14.68%
e) None of the above