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You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. 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 0.09?

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Answer:

The answer is "[tex]60\% \ in \ risky \ asset[/tex]"

Explanation:

[tex]\to 0.09 = x(0.15)\\\\\to x=\frac{0.09}{0.15}\\\\\to x=\frac{9}{15}\\\\\to x= 0.6[/tex]

[tex]\to x = 0.6 \approx 60\%[/tex] in the risky asset.

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