Juliet Kaufman manages a large portfolio of risky assets for a family of investors. The portfolio consists primarily of stocks but also includes a small allocation of fixed-income investments. Currently, the expected return and standard deviation of the portfolio are 14.0 percent and 12.0 percent, respectively. Kaufman is considering adding one of four stocks to the portfolio. Data on each stock’s expected return, beta, standard deviation and covariance with the existing portfolio are presented below. Which stock should Kaufman add to the portfolio

A．Stock

B．E(R)

C．Beta

D．D.

E．Covariance

F．

A

B

C

G．

12.0%

13.0%

15.0%

H．

0.85

1.08

0.97

I．

11.0%

10.0%

8.0%

J．

0.00

-0.01

0.02