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Unformatted text preview: return of 0.11 and a variance of 0.12 and 30 percent in a Tbill that pays 3 percent. His portfolio's expected return and standard deviation are __________ and __________, respectively. A) 0.086; 0.242 B) 0.087; 0.267 C) 0.295; 0.123 D) 0.087; 0.182 E) none of the above Answer: A Difficulty: Moderate Rationale: E(r P ) = 0.7(11%) + 0.3(3%) = 8.6%; s P = 0.7(0.12)1/2 = 24.2%. Use the following to answer questions 3335: 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 Tbill with a rate of return of 0.03. Bodie, Investments, Sixth Edition...
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This note was uploaded on 01/31/2010 for the course ECON 3660DE taught by Professor Patrickmartinandvitalialexeev during the Spring '10 term at University of Guelph.
 Spring '10
 PatrickMartinandVitaliAlexeev
 Economics

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