contestada

You invest $1,000 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. What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.20

Respuesta :

Tundexi

Answer:

50%, 50%

Explanation:

% of money invested in risky asset =  Portfolio standard deviation/Standard deviation of risky asset

% of money invested in risky asset = 0.20/0.40

% of money invested in risky asset = 50.00%

% of money invested in risk free asset = 1 - 50.00%

% of money invested in risk free asset = 50.00%

Otras preguntas