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An investor van invest in two assets: as risky portfolio P and a risk-free asset. P has an expected return of 8% with a standard
An investor van invest in two assets: as risky portfolio P and a risk-free asset. P has an expected return of 8% with a standard deviation of 18%. The risk-free asset returns a sure 2.5%. The investor wants an expected return of 13.75%. What percentage of her assets should be invested in P? The investor wants to maximize het expected return; but also wants to limit her risk, so that the standard deviation of the returns will not exceed 15%. What percentage of her assets shoudl be invested in P?
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