Unformatted text preview: A. optimal risky portfolio B. risk-free rate C. optimal mix of the risk-free asset and risky asset D. capital allocation line 5. You invest $1,000 in a complete portfolio. The complete portfolio is composed of a risky asset with an expected rate of return of 16% and a standard deviation of 20% and a treasury bill with a rate of return of 6%. How much of your complete portfolio should be invested in the risky portfolio if you want your complete portfolio to have a standard deviation of 10%? What is the return rate on the complete portfolio if its standard deviation of return is 10%? Weight = 10%/20%=50% Return = 0.5*(6%+16%)=11%...
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This note was uploaded on 03/20/2012 for the course FINA 469 taught by Professor Zhang during the Spring '08 term at South Carolina.
- Spring '08