You have $1,000 to invest in a complete portfolio. The complete portfolio is composed of T-bills that pay 5% and a risky portfolio, constructed with two risky securities, A and B. The optimal weights of A and B are 60%, 40%, respectively. A has an expected rate of return of 14%, and B has an expected rate of return of 10%. What proportion (weight) of your investment should you invest in T-bills to form a complete portfolio with an expected rate of return of 11%?

Multiple Choice

50.00%

36.00%

19.00%

25.50%