An investor wants to form a two asset portfolio with proportion y of available funds invested in a risky portfolio with an expected return of 11% and a standard deviation of 15% and the remaining proportion (1 - y) of available funds invested in treasury bills with a return of 1%, so that the standard deviation of the complete portfolio will not exceed 10%.

a. What is the proportion y?

b. What is the expected return for the complete portfolio?

Answer rating: 100% (QA)

To determine the proportion y and the expected return for the complete portfolio we can use the conc... View the full answer