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

30/30

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 risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.08?

50% and 50%

30% and 70%

Cannot be determined.

60% and 40%

40% and 60%

Giải thích

Chọn đáp án E

Giải thích: 0.08 = x(0.20); x = 40% in risky asset.