Suppose that you have found the optimal risky combination using all risky assets available in the economy, and that this optimal risky portfolio has an expected return of 0.19 and standard deviation of 0.24. The T-bill rate is 0.05. What fraction of your money must be invested in the optimal risky portfolio in order to form a complete portfolio with an expected return of 0.09? Round your answer to 4 decimal places. For example, if your answer is 3.205 % , then please write down 0.0321.

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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Suppose that you have found the optimal risky combination using all risky assets available in the
economy, and that this optimal risky portfolio has an expected return of 0.19 and standard deviation
of 0.24. The T-bill rate is 0.05.
What fraction of your money must be invested in the optimal risky portfolio in order to form a
complete portfolio with an expected return of 0.09?
Round your answer to 4 decimal places. For example, if your answer is 3.205 %, then please write
down 0.0321..
Transcribed Image Text:Suppose that you have found the optimal risky combination using all risky assets available in the economy, and that this optimal risky portfolio has an expected return of 0.19 and standard deviation of 0.24. The T-bill rate is 0.05. What fraction of your money must be invested in the optimal risky portfolio in order to form a complete portfolio with an expected return of 0.09? Round your answer to 4 decimal places. For example, if your answer is 3.205 %, then please write down 0.0321..
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