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(The answer is C. 5.5%) An asset manager has determined that the tangent portfolio is constructed by 60% in stocks of Deustche Bank, 20% on

(The answer is C. 5.5%)

An asset manager has determined that the tangent portfolio is constructed by 60% in stocks of Deustche Bank, 20% on Shell Corporate bonds, 10% in stocks of Siemens and the rest in commodities. The volatility of this tangent portfolio is 28% and its expected return 23%. The expected return of the risk-free asset is 5%. Assuming that one client wants to have a portfolio with a volatility of 15,4%, determine the weight to be invested in commodities under Markowitz model:

A)4,7%

B)6,3%

C)5,5%

D)7,5%

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