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.A portfolio that has an expected outcome

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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.

A portfolio that has an expected outcome of \$115 is formed by

Investing \$100 in the risky asset.

Investing \$43 in the risky asset and \$57 in the riskless asset.

Investing \$80 in the risky asset and \$20 in the risk-free asset.

such a portfolio cannot be formed.

Borrowing \$43 at the risk-free rate and investing the total amount (\$143) in the risky asset

Giải thích

Chọn đáp án E

Giải thích: For \$100: (115 - 100)/100 = 15%

0.15 = w1(0.12) + (1 - w1)(0.05)

0.15 = 0.12w1 + 0.05 - 0.05w1

0.10 = 0.07w1

w1 = 1.43(\$100) = \$143 so (1 - w1)\$100 = -\$43.