You Invest $100 in a Risky Asset with an Expected

question 33

Multiple Choice

You invest $100 in a risky asset with an expected rate of return of 0.11 and a standard deviation of 0.20 and a T-bill with a rate of return of 0.03. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.08?

• A)85% and 15%
• B)75% and 25%
• C)62.5% and 37.5%
• D)57% and 43%