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Suppose you can invest in N risky securities, but you cannot invest in risk free...

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Finance

Suppose you can invest in N risky securities, but you cannot invest in risk free security. Then, your optimal choice is to

A. invest in 1 of N securities, the one with the smallest correlation coefficient with other N-1 securities

B. invest in 1 of N securities, the one with the highest expected return and lowest standard deviation.

C. invest in the portfolio of N securities, such that the portfolio you invest in is a tangency point between the capital allocation line and your indifference curve.

D. invest in the portfolio of N securities, such that each security has portfolio weight proportional to its correlation coefficient with itself.

E. invest in the portfolio of N securities, such that the portfolio you invest in is a tangency point between the efficient frontier and your indifference curve

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