You invest $100 in a risky asset with an expected rate of return of 0.11 and a standard deviation of 0.20 and a T-bill with a rate of return of 0.03. What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.08? Select one: a. 30% and 70% b. 50% and 50% c. 60% and 40% d. 40% and 60% e. Cannot be determined.

You invest $100 in a risky asset with an expected rate of return of 0.11 and a standard deviation of 0.20 and a T-bill with a rate of return of 0.03. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.08?

Select one:

a. 85% and 15%

b. 75% and 25%

c. 62.5% and 37.5%

d. 57% and 43%

e. Cannot be determined.