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You invest $100 in a risky asset with an expected rate of return of 0.14 and a standard deviation of 0.20 and a T-bill with
You invest $100 in a risky asset with an expected rate of return of 0.14 and a standard deviation of 0.20 and a T-bill with a rate of return of 0.06. 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 0.18?
A. | -50% and 150% | |
B. | 150% and -50% | |
C. | -25% and 125% | |
D. | cannot be determined | |
E. | 125% and -25% |
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