ou invest $1,000 in a risky asset with an expected rate of return of 0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of 0.04. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.11?

Select one:

a. 53.8% and 46.2%

b. 75% and 25%

c. 62.5% and 37.5%

d. 46.2% and 53.8%

e. Cannot be determined.