Question
A bank invest $100 in a portfolio of stock XYZ and a risk-free asset with a return of 5%. XYZ has an expected return of
A bank invest $100 in a portfolio of stock XYZ and a risk-free asset with a return of 5%. XYZ has an expected return of 12% and a standard deviation of 10%. What is the percentage of your portfolio in the risk-free asset if your portfolios standard deviation is 9%?
| A. | 30% | |
| B. | 90% | |
| C. | 50% | |
| D. | 10% |
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Canadian Public Sector Financial Management
Authors: Andrew Graham
3rd Edition
1553395417, 9781553395416
