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An investor constructs the following portfolio: X (55%) Risky (60%) Y (30%) Overall portfolio AZ (?) Risk-free (40%) T-Bills (100%) Note that the percentages between
An investor constructs the following portfolio: X (55%) Risky (60%) Y (30%) Overall portfolio AZ (?) Risk-free (40%) T-Bills (100%) Note that the percentages between parentheses represent the weights. Assume that the expected return and risk on the overall portfolio are respectively equal to 14% and 22%. The risk-free rate is 7. 1. Determine the proportion that this investor has invested in asset Z in the overall portfolio (risky and risk-free assets). O a. 15% O b.9% O c. 18% O d. 49% O e. None of the above 2. Assume that the investor's degree of risk aversion is A=2. What proportion, y, of the total investment should be invested in the risky assets? O a 21.69% Ob 15.91% O 0.72.31% O d. 47 72% e None of the above 3. What is the investor's risk on the optimized portfolio? O a. 15.91% O b.3.5% O c. 4.77% O d. 10.5% O e. None of the above
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