1. An asset has an expected return of 16% and risk (SD) of 8%. An investor short-sells this asset and holds the proceeds as cash (assume cash pays 0 interest). The expected return for the investor's portfolio is?
2. An asset has an expected return of 16% and risk (SD) of 8%. An investor short-sells this asset and holds the proceeds as cash. The risk for the investor's portfolio is?
3. A fund has a capital of $100M. It's investment opportunity set consists of a risky asset with expected return of 8%, and risk of 16%. The fund wishes to achieve an expected return of 12%. The borrowing rate for the fund is 5% and lending rate is 3%. What allocation by the fund will achieve its target of 12% expected return?