You invest $1000 in a risky asset with an expected rate of return of 0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of 0.04. Assume the T-bill’s rate doesn’t change over your investment horizon. What percentages of your money must be invested in the risky asset to form a portfolio with an expected return of 0.11? (Hint: a value between 0 to 1).

You invest $1000 in a risky asset with an expected rate of return of 0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of 0.04. Assume the T-bill’s rate doesn’t change over your investment horizon. What percentages of your money must be invested in the risky asset to form a portfolio with an expected return of 0.11? (Hint: a value between 0 to 1).

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13P

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