An investor invests 30% of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.04 and 70% in a T-bill that pays 6%.His portfolio's expected return and standard deviation are __________ and __________, respectively.
A)0.114; 0.12
B)0.087; 0.06
C)0.295; 0.06
D)0.087; 0.12
E)None of the options

Question

Quizplus · Accepted Answer

E(r_P) = 0.3(15%) + 0.7(6%) = 8.7%; s_P = 0.3(0.04)^1/2 = 6%.

An Investor Invests 30% of His Wealth in a Risky