undefined

In an investment environment which contains 3 risky assets and a risk-free asset, the optimal risky portfolio is created from a mix of Asset A, Asset B, and Asset C. E[RA] = 0.2, E[R3] = 0.12, E[Rc) = 0.18, and the risk-free retrun is 3%. The covariance matrix for the returns on these assets is (ordered A,B,C): 0.04 0 -0.02 0 0.03 0 -0.02 0 0.01 Find the weight of Asset C that will be used in the optimal risky portfolio O A. Less than 0.2 O B. Between 0.2 and 0.4 O C. Between 0.4 and 0.6 O D. Between 0.6 and 0.8 O E. More than 0.8 In an investment environment which contains 3 risky assets and a risk-free asset, the optimal risky portfolio is created from a mix of Asset A, Asset B, and Asset C. E[RA] = 0.2, E[R3] = 0.12, E[Rc) = 0.18, and the risk-free retrun is 3%. The covariance matrix for the returns on these assets is (ordered A,B,C): 0.04 0 -0.02 0 0.03 0 -0.02 0 0.01 Find the weight of Asset C that will be used in the optimal risky portfolio O A. Less than 0.2 O B. Between 0.2 and 0.4 O C. Between 0.4 and 0.6 O D. Between 0.6 and 0.8 O E. More than 0.8