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An investor invests 70% of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.0225, and
An investor invests 70% of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.0225, and the remaining in a T-bill that pays 1%. His portfolio's expected return and standard deviation are __________ and __________, respectively.
A. | 0.084; 0.095 | |
B. | 0.016; 0.108 | |
C. | 0.116; 0.128 | |
D. | 0.108; 0.105
| |
E. | 0.105; 0.108 | |
F. | 0.108; 0.016
|
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