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You are considering investing $1000 in a T-bill that returns 5% and a risky portfolio, P, constructed with 2 risky securities, X and Y. The
You are considering investing $1000 in a T-bill that returns 5% and a risky portfolio, P, constructed with 2 risky securities, X and Y. The weights of X and Y are 0.60 and 0.40 respectively. X has an expected rate of return of 0.14 and variance 0.01 and Y has an expected rate of return of 0.10 and a variance of 0.0081. You want to form a portfolio with a standard deviation of return of 0.11, can you figure out with the information provided what percentages of your money must you invest in the T-bill and P, respectively?
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