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An investor invests 30 percent of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.04 and 70 percent in a T-bill that pays 6 percent. His portfolio's e

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An investor invests 30 percent of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.04 and 70 percent in a T-bill that pays 6 percent. His portfolio's expected return and standard deviation are ______and ________, respectively.

0.087; 0.06

0.087; 0.12

0.114; 0.12

0.795; 0.14

0.295; 0.12

Giải thích

Chọn đáp án A

Giải thích: E(rP) = 0.3(15%) + 0.7(6%) = 8.7% sP = 0.3(0.04)^1/2 = 6%