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Need help with this question: The expected returns for Securities ABC and XYZ are 8 percent...

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The expected returns for Securities ABC and XYZ are 8 percent and 13 percent, respectively. The standard deviation is 12 percent for ABC and 18 percent for XYZ. There is no relationship between the returns on the two securities. The market return is 12.5 percent with a standard deviation of 16 percent. The risk-free rate is 5 percent. Which of the following is not an efficient portfolio as determined by the lowest Sharpe ratio?

100% invested in ABC is efficient

100% invested in XYZ is efficient

52% in ABC and 48% XYZ is efficient

48% in ABC and 52% XYZ is efficient
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