An Investor Invests 25% of His Wealth in a Risky

Multiple Choice

An investor invests 25% of his wealth in a risky asset with an expected rate of return of 0.17 and a variance of 0.08 and 60% in a T-bill that pays 4.5%. His portfolio's expected return and standard deviation are __________ and __________, respectively.

A) 0.114; 0.126
B) 0.087; 0.068
C) 0.076; 0.071
D) 0.087; 0.124
E) None of the options are correct.