The portfolio manager wants to select the asset that has the lowest marginal VaR as long as its Treynor ratio is at least 0.1. Assuming the risk free rate is 2%, which asset should the portfolio manager select?

| Asset | Expected Return | Beta to the Index | Beta to the Portfolio |

|-------|------------------|-------------------|------------------------|

| A | 12% | 1.2 | 0.90 |

| B | 10% | 0.7 | 0.90 |

| C | 10% | 0.6 | 0.85 |

| D | 8% | 0.3 | 1.10 |