An investor invests 70% of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.04 and 30% in a T-bill that pays 5%.His portfolio's expected return and standard deviation are __________ and __________, respectively.
A)0.120; 0.14
B)0.087; 0.06
C)0.295; 0.12
D)0.087; 0.12

Question

Quizplus · Accepted Answer

E(r_P) = 0.7(15%) + 0.3(5%) = 12.0%; s_P = 0.7(0.04)^1/2 = 14%.

An Investor Invests 70% of His Wealth in a Risky