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You are considering investing $1,000 in a T-bill that pays 0.05 and a risky portfolio, P, constructed with 2 risky securities, X and Y. The

You are considering investing $1,000 in a T-bill that pays 0.05 and a risky portfolio, P, constructed with 2 risky securities, X and Y. The weights of X and Y in P are 0.70 and 0.30, 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. If you want to form a portfolio with an expected rate of return of 0.077, what percentages of your money must you invest in the T-bill and P, respectively?

Select one:

a. 0.19; 0.81

b. cannot be determined

c. 0.81; 0.19

d. 0.34; 0.66

e. 0.65; 0.35

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