An investor invests 70% of her wealth in a risky asset with an expected rate of return of 15% and a variance of 5%, and she puts 30% in a Treasury bill that pays 5%. Her portfolio's expected rate of return and standard deviation are ________ and ________ respectively.
A) 10%; 6.7%
B) 12%; 22.4%
C) 12%; 15.7%
D) 10%; 35%

Question

Quizplus · Accepted Answer

E(r_p) = .7(.15) + .3(.05) = 12% σ(r_p) = 11eaaae8_8b6b_96dc_a4b8_ddec7a56726f_TB6474_11 = 15.7%

An Investor Invests 70% of Her Wealth in a Risky