6- An investor invests 45% of his wealth in a risky asset with an expected rate of return of 0.20 and a variance of 0.12 and 65% in a T-bill that pays 4%. His portfolio's expected return and standard deviation are and respectively. 130 a) 0.197; 0.144 b) 0.098; 0.111 c) 0.086; 0.136 d) 0.112; 0.054

6- An investor invests 45% of his wealth in a risky asset with an expected rate of return of 0.20 and a variance of 0.12 and 65% in a T-bill that pays 4%. His portfolio's expected return and standard deviation are and respectively. 130 a) 0.197; 0.144 b) 0.098; 0.111 c) 0.086; 0.136 d) 0.112; 0.054

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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Question

6 -
An investor invests 45% of his wealth in a risky asset with an expected rate of return of 0.20 and a variance of
0.12 and 65% in a T-bill that pays 4%. His portfolio's expected return and standard deviation are
and
, respectively.
130
a) O 0.197; 0.144
b) O 0.098; 0.111
c) O 0.086; 0.136
d) O 0.112; 0.054

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