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 risk-free asset and the risky asset, respectively, to
Form a portfolio with a standard deviation of 0.08?

A) 30.1% and 69.9%
B) 50.5% and 49.50%
C) 60.0% and 40.0%
D) 61.9% and 38.1%
E) Cannot be determined.