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 0.11 and a standard deviation of 0.20 and a T-bill with a rate of return of 0.03. What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.08?

A) 30% and 70%
B) 50% and 50%
C) 60% and 40%
D) 40% and 60%
E) Cannot be determined.