QUESTION $14$

You invest $$100$ in a risky asset with an expected rate of return of $0\mathrm{.}11$ and a standard deviation of $0\mathrm{.}7$ and a T$-$bill with a rate of return of $0\mathrm{.}03.$ What percentages of your money must be invested in the risky asset to form a portfolio with a standard deviation of $0\mathrm{.}54?$

a$.50\mathrm{.}00\%$

b$.77\mathrm{.}14\%$

c$.59\mathrm{.}51\%$

d$.22\mathrm{.}86\%$