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You are considering investing $1,000 in a portfolio. The portfolio is composed of Treasury bills that pay 5% and a risky portfolio, P, constructed with
You are considering investing $1,000 in a portfolio. The 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 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 portfolio with an expected rate of return of 11%, you should invest __________ percent of your portfolio in Treasury bills.
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