Asset |
E(R) |
Std. deviation |
A |
12% |
40% |
B |
20% |
50% |
Your optimal risky portfolio formed with the two stocks above (A and B) has an expected return of 16% and a standard deviation of 32%. The risk-free rate is 4% and you have a risk-aversion parameter of 3. What is the proportion of your investment in A, B, and the risk-free asset, respectively, in your final portfolio?
A. |
53.3%; 17.8%; 28.9% |
|
B. |
56.9%; 14.2%; 28.9% |
|
C. |
37.5%; 12.5%; 50.0% |
|
D. |
17.9%; 6.0%; 76.1% |
|
E. |
21.7%; 7.2%; 71.1% |
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