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

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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?

62.5% and 37.5%

75% and 25%

cannot be determined

57% and 43%

85% and 15%

Giải thích

Chọn đáp án A

Giải thích: 8% = w1(11%) + (1 - w1)(3%)

8% = 11%w1 + 3% - 3%w1

5% = 8%w1

w1 = 0.625

1 - w1 = 0.375

0.625(11%) + 0.375(3%) = 8.0%