A risky portfolio has an expected rate of return of 14% and a standard deviation of 20%. The risk-free asset has a rate of return of 5%. The complete portfolio (which has a mixture of the risky asset and risk-free asset) has a standard deviation of 12%. What proportion of the complete portfolio is invested in the risky portfolio? 12% 100% 40% 60%

A risky portfolio has an expected rate of return of 14% and a standard deviation of 20%. The risk-free asset has a rate of return of 5%. The complete portfolio (which has a mixture of the risky asset and risk-free asset) has a standard deviation of 12%. What proportion of the complete portfolio is invested in the risky portfolio? 12% 100% 40% 60%

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13P

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