You invest $100 in a risky asset with an expected rate of return of 0.12...
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Finance
You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05.
What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.06?
| 30% in the risky asset and 70% in the risk free-asset | ||
| 50% in the risky asset and 50% in the risk-free asset | ||
| 60% in the risky asset and 40% in the risk-free asset | ||
| 40% in the risky asset and 60% in the risk-free asset | ||
| Cannot be determined. |
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