What is the expected return of the two asset portfolio

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Reference no: EM131451646

An investor wants to form a two asset portfolio consisting of Treasury bills with a return of 1.5% and a risky portfolio with a risk premium of 12.7% and a standard deviation of 22%. The investor wants the standard deviation of the two asset portfolio to be no more than 15%.

a. What fraction y of the investor’s funds should be invested in the risky portfolio?

b. What is the expected return of the two asset portfolio?

Reference no: EM131451646

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