You are considering investing $1,000 in a (risk-free) T-bill with an expected return of 5% and a risky portfolio, P, constructed with two risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081.

What would be (to within $1) the dollar value of your positions in X, Y, and the T-bills, respectively, if you decide to hold a portfolio that has an expected value of $1,120?

A. Cannot be determined (the correlation between X and Y is needed)

B. $568; $378; $54

C. $568; $54; $378

D. $378; $54; $568

E. $108; $514; $378