You invest \$1000 in a risky asset with an expected rate of return of0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of0.04. A portfolio that has an expected outcome

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You invest \$1000 in a risky asset with an expected rate of return of

0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of

0.04. A portfolio that has an expected outcome of \$114 is formed by

Borrowing \$46 at the risk-free rate and investing the total amount (\$146) in the risky asset.

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

Such a portfolio cannot be formed.

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

Investing \$100 in the risky asset.

Giải thích

Chọn đáp án A

Giải thích: For \$100: (114 - 100)/100 = 14%

0.14 = w1(0.11) + (1 - w1)(0.045)

0.14 = 0.11w1 + 0.045 - 0.045w1

0.095 = 0.065w1

w1 = 1.46(\$100) = \$146 (1 - w1)\$100 = -\$46.