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 0.21 and a T-bill with a rate of return of 0.045. 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 0.13?

A) 130.77% and −30.77%
B) −30.77% and 130.77%
C) 67.67% and 33.33%
D) 57.75% and 42.25%
E) Cannot be determined.