You Invest $1,000 in a Risky Asset with an Expected

Multiple Choice

You invest $1,000 in a risky asset with an expected rate of return of 0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of 0.04.
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 0.11?

A) 53.8% and 46.2%
B) 75% and 25%
C) 62.5% and 37.5%
D) 46.2% and 53.8%
E) Cannot be determined.