Your complete portfolio is composed of Treasury bills that pay 4% and the optimal risky portfolio, constructed with two risky securities, A and B. Suppose the optimal weights of A and B are 60% and 40% respectively. A has an expected rate of return of 17%, and B has an expected rate of return of 14%. If you want to form a complete portfolio with an expected rate of return of 7%, you should invest approximately __________ in this optimal risky portfolio. This also means you will invest approximately __________ and __________ of your complete portfolio in security X and Y, respectively.

Multiple Choice

• 0%; 60%; 40%

• 31%; 43%; 26%

• 25%; 15%; 10%

• 50%; 30%; 20%