You invest $100 in a risky asset with an expected return of 12% and a standard deviation of 15%, and a T-bill that pays 5%. [i]. If you desire to form a portfolio with an expected return of 9%, what...

You invest $100 in a risky asset with an expected return of 12% and a standard deviation of 15%, and a T-bill that pays 5%.

[i]. If you desire to form a portfolio with an expected return of 9%, what percentages of your money must you invest in the T-bill?

[ii]. If you desire to form a portfolio with a standard deviation of 9%, what percentages of your money must you invest in the T-bill?

Jun 10, 2022

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