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. 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 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. 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 0.09?

67% and 33%

75% and 25%

cannot be determined

85% and 15%

57% and 43%

Giải thích

Chọn đáp án E

Giải thích: 9% = w1(12%) + (1 - w1)(5%)

9% = 12%w1 + 5% - 5%w1

4% = 7%w1

w1 = 0.57

1 - w1 = 0.43

0.57(12%) + 0.43(5%) = 8.99%.