You Are Considering Investing $1,000 in a Complete Portfolio

Multiple Choice

You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of treasury bills that pay 5% and a risky portfolio, P, constructed with 2 risky securities X and Y. The optimal weights of X and Y in P are 60% and 40% respectively. X has an expected rate of return of 14% and Y has an expected rate of return of 10%.
-To form a complete portfolio with an expected rate of return of 11%,you should invest __________ of your complete portfolio in treasury bills.

A) 19%
B) 25%
C) 36%
D) 50%