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 risky asset and the risk-free asset, respectively, to
Form a portfolio with an expected return of 0.08?

A) 85% and 15%
B) 75% and 25%
C) 62.5% and 37.5%
D) 57% and 43%
E) Cannot be determined.