You Invest $100 in a Risky Asset with an Expected

Multiple Choice

You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.09?

A) 85% and 15%
B) 75% and 25%
C) 67% and 33%
D) 57% and 43%
E) Cannot be determined.