Assume risk-free asset earning 9.9% a year and risky-asset having expected return of 22% per year and standard

deviation of 45%. Given these opportunities you wish to construct a portfolio with a standard deviation of 27%. What

would be your portfolio expected return, E(rp)?

Q2. Suppose there is a risky portfolio P with an expected return of 0.10 and a variance of 0.09. There is also a risk-free asset

with a return of 0.02. If an investor allocates a proportion y=0.75 to the risky portfolio, and invests the remaining

proportion in the risk-free asset, what is the variance of their complete portfolio?

Answer rating: 100% (QA)

Question 1 Problem Given a riskfree asset with a 99 return Rr 0099 and a risky asset with a 22 expec... View the full answer