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 risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.09?
| A. | 85% in the risky asset and 15% in the risk-free asset | |
| B. | 75% in the risky asset and 25% in the risk-free asset | |
| C. | 65% in the risky asset and 35% in the risk-free asset | |
| D. | 57% in the risky asset and 43% in the risk-free asset | |
| E. | Cannot be determined. |
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