Question
You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury bills that pay 5% and a risky portfolio, P,
You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury bills that pay 5% and a risky portfolio, P, constructed with two risky securities, X and Y. The optimal weights of X and Y in P are 60% and 40%, respectively. X has an expected rate of return of 14%, and Y has an expected rate of return of 10%. To form a complete portfolio with an expected rate of return of 15%, you should invest __________ of your complete portfolio in Treasury bills and it is a _____________ .
A. 15.54.% and a long position in TBills.
B. -20.15% and a short position in TBills.
C. -35.13% and a short position in TBills.
D.0% and no investment in TBills
E. 19.11% and a long position in TBills.
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