You are considering investing \$1,000 in a T-bill that pays 0.05 and a risky portfolio, P, constructed with 2 risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respec

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You are considering investing \$1,000 in a T-bill that pays 0.05 and a risky portfolio, P, constructed with 2 risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081. If you want to form a portfolio with an expected rate of return of 0.11, what percentages of your money must you invest in the T-bill and P, respectively?

0.50; 0.50

0.25; 0.75

cannot be determined

0.19; 0.81

0.65; 0.35

Giải thích

Chọn đáp án D

Giải thích: E(rp) = 0.6(14%) + 0.4(10%) = 12.4% 11% = 5x + 12.4(1 - x)

x = 0.189 (T-bills) (1-x) = 0.811 (risky asset).