An investor invests 30% of his wealth in a risky asset with an expected rate of return of 0.11 and a variance of 0.12 and 70% in a T-bill that pays 3%.His portfolio's expected return and standard deviation are __________ and __________, respectively.
A)0.086; 0.242
B)0.054; 0.104
C)0.295; 0.123
D)0.087; 0.182
E)None of the options

Question

Quizplus · Accepted Answer

E(r_P) = 0.3(11%) + 0.7(3%) = 5.4%; s_P = 0.3(0.12)^1/2 = 10.4%.

An Investor Invests 30% of His Wealth in a Risky