An investor invests 40% of his wealth in a risky asset with an expected rate of return of 0.17 and a variance of 0.08 and 60% in a T-bill that pays 4.5%.His portfolio's expected return and standard deviation are __________ and __________, respectively.
A)0.114; 0.126
B)0.087; 0.068
C)0.095; 0.113
D)0.087; 0.124
E)None of the options

Question

Quizplus · Accepted Answer

E(r_P) = 0.4(17%) + 0.6(4.5%) = 9.5%; s_P = 0.4(0.08)^1/2 = 11.31%.

An Investor Invests 40% of His Wealth in a Risky