Question: Suppose the optimal risky portfolio P has an expected return of 0.10 and a variance of 0.09. There is also a risk-free asset with a

Suppose the optimal risky portfolio P has 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=0.59 to the risky portfolio, and invests the remaining proportion in the risk-free asset, what is the variance of that investor's complete portfolio?

0.0531

0.1770

0.0672

0.0313

0.0590

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