I am looking at quesiton B.i. which asks, “Determine the most appropriate SAA for the pension plan based on the proposal” (The proposal allows borrowing and lending at the risk free rate).
In the guideline answer they have listed Portfolio 4 as the appropriate portfolio, but don’t say why it is the answer versus the other portfolios. I really want to understand this as corner portfolios are almost always tested. Can someone please explain why this is the answer? Thanks!