2025年金融市场实战宝典投资策略与技巧全解析

Chapter06

CapitalAllocationtoRiskyAssets

MultipleChoiceQuestions

1.Whichofthefollowingstatementsregardingrisk-averseinvestorsistrue?

A.Theyonlycareabouttherateofreturn.

B.Theyacceptinvestmentsthatarefairgames.

C.Theyonlyacceptriskyinvestmentsthatofferriskpremiumsovertherisk-freerate.

D.Theyarewillingtoacceptlowerreturnsandhighrisk.

E.Theyonlycareabouttherateofreturn,andtheyacceptinvestmentsthatarefairgames.

2.Whichofthefollowingstatementsis(are)true?

I)Risk-averseinvestorsrejectinvestmentsthatarefairgames.

II)Risk-neutralinvestorsjudgeriskyinvestmentsonlybytheexpectedreturns.

Ill)Risk-averseinvestorsjudgeinvestmentsonlybytheirriskiness.

IV)Risk-lovinginvestorswillnotengageinfairgames.

A.Ionly

B.IIonly

C.IandIIonly

D.IIandIIIonly

E.II,III,andIVonly

3.Whichofthefollowingstatementsis(are)false?

I)Risk-averseinvestorsrejectinvestmentsthatarefairgames.

II)Risk-neutralinvestorsjudgeriskyinvestmentsonlybytheexpectedreturns.

Ill)Risk-averseinvestorsjudgeinvestmentsonlybytheirriskiness.

IV)Risk-lovinginvestorswillnotengageinfairgames.

A.Ionly

B.IIonly

C.IandIIonly

D.IIandIIIonly

E.IllandIVonly

4.Inthemean-standarddeviationgraphanindifferencecurvehasaslope.

A.negative

B.zero

C.positive

D.vertical

E.cannotbedetermined

5.Inthemean-standarddeviationgraph,whichoneofthefollowingstatementsistrueregarding

theindifferencecurveofarisk-averseinvestor?

A.Itisthelocusofportfoliosthathavethesameexpectedratesofreturnanddifferent

standarddeviations.

B.Itisthelocusofportfoliosthathavethesamestandarddeviationsanddifferentratesof

return.

C.Itisthelocusofportfoliosthatofferthesameutilityaccordingtoreturnsandstandard

deviations.

D.Itconnectsportfoliosthatofferincreasingutilitiesaccordingtoreturnsandstandard

deviations.

E.Noneoftheoptions

6.Inareturn-standarddeviationspace,whichofthefollowingstatementsis(are)trueforrisk-

averseinvestors?(Theverticalandhorizontallinesarereferredtoastheexpectedreturn-axis

andthestandarddeviaton-axis,respectively.)

I)Aninvestor'sownindifferencecurvesmightintersect.

II)Indifferencecurveshavenegativeslopes.

Ill)Inasetofindifferencecurves,thehighestoffersthegreatestutility.

IV)Indifferencecurvesoftwoinvestorsmightintersect

A.IandIIonly

B.IIandIIIonly

C.IandIVonly

D.IllandIVonly

E.Noneoftheoptions

7.Eliasisarisk-averseinvestor.Davidisalessrisk-averseinvestorthanElias.Therefore,

A.forthesamerisk,DavidrequiresahigherrateofreturnthanElias.

B.forthesamereturn,EliastolerateshigherriskthanDavid.

C.forthesamerisk,EliasrequiresalowerrateofreturnthanDavid.

D.forthesamereturn,DavidtolerateshigherriskthanElias.

E.Cannotbedetermined

8.Whenaninvestmentadvisorattemptstodetermineaninvestor'srisktolerance,whichfactor

wouldtheybeleastlikelytoassess?

A.Theinvestor'spriorinvestingexperience

B.Theinvestor'sdegreeoffinancialsecurity

C.Theinvestor'stendencytomakeriskyorconservativechoices

D.Thelevelofreturntheinvestorprefers

E.Theinvestor'sfeelingsaboutloss

9.Assumeaninvestorwiththefollowingutilityfunction:U-&r)-3/2⑸.

Tomaximizeherexpectedutility,shewouldchoosetheassetwithanexpectedrateofreturn

ofandastandarddeviationof,respectively.

A.12%;20%

B.10%;15%

C.10%;10%

D.8%;10%

10.Assumeaninvestorwiththefollowingutilityfunction:U-£(/)-3/2(s2).

Tomaximizeherexpectedutility,whichoneofthefollowinginvestmentalternativeswould

shechoose?

A.Aportfoliothatpays10%witha60%probabilityor5%with40%probability.

B.Aportfoliothatpays10%with40%probabilityor5%witha60%probability.

C.Aportfoliothatpays12%with60%probabilityor5%with40%probability.

D.Aportfoliothatpays12%with40%probabilityor5%with60%probability.

11.Aportfoliohasanexpectedrateofreturnof0.15andastandarddeviationof0.15.Therisk-

freerateis6%.Aninvestorhasthefollowingutilityfunction:U-旦/)-(42)6.Whichvalueof

Amakesthisinvestorindifferentbetweentheriskyportfolioandtherisk-freeasset?

A.5

B.6

C.7

D.8

12.Accordingtothemean-variancecriterion,whichoneofthefollowinginvestmentsdominates

allothers?

A.E(f)=0.15;Variance=0.20

B.£(/)=0.10;Variance=0.20

C.E(f)=0.10;Variance=0.25

D.E(f)=0.15;Variance=0.25

E.Noneoftheseoptionsdominatestheotheralternatives.

13.Considerariskyportfolio,A,withanexpectedrateofreturnof0.15andastandarddeviation

of0.15,thatliesonagivenindifferencecurve.Whichoneofthefollowingportfoliosmightlie

onthesameindifferencecurve?

A.£(/)=0.15;Standarddeviation=0.20

B.E(力=0.15;Standarddeviation=0.10

C.£(/)=0.10;Standarddeviation=0.10

D.E(f)=0.20;Standarddeviation=0.15

E.£(/)=0.10;Standarddeviation=0.20

14InvestmentExpectedReturnE(r)StandardDeviation

10.120.3

20.150.5

c

D0.210.16

40.240.21

U=£(/)-(42)蟆,whereA=4.0.

Basedontheutilityfunctionabove,whichinvestmentwouldyouselect?

A.1

B.2

C.3

D.4

E.Cannottellfromtheinformationgiven

15InvestmentExpectedReturnE(r)StandardDeviation

10.120.3

20.150.5

c

D0.210.16

40.240.21

U-£p)-(42)s2,whereA=4.0.

Whichinvestmentwouldyouselectifyouwereriskneutral?

A.1

B.2

C.3

D.4

E.Cannottellfromtheinformationgiven

16.InxestmentExpectedRctumE(r)StandardDeviation

0.120.3

0.150.5

0.210.16

0.240.21

U=E[/)-(/V2)s2,whereA=4.0.

Thevariable{A)intheLtilityfunctionrepresentsthe

A.investor'sreturnrequirement.

B.investor'saversiontorisk.

C.certainty-equivalentrateoftheportfolio.

D.minimumrequiredutilityoftheportfolio.

17.Theexactindifferencecurvesofdifferentinvestors

A.cannotbeknownwithperfectcertainty.

B.canbecalculatedpreciselywiththeuseofadvancedcalculus.

C.althoughnotknownwithperfectcertainty,doallowtheadvisortocreatemoresuitable

portfoliosfortheclient.

D.cannotbeknownwithperfectcertaintyandalthoughnotknownwithperfectcertainty,do

allowtheadvisortocreatemoresuitableportfoliosfortheclient.

18.Theriskinessofindividcalassets

A.shouldbeconsideredfortheassetinisolation.

B.shouldbeconsideredinthecontextoftheeffectonoverallportfoliovolatility.

C.shouldbecombinedwiththeriskinessofotherindividualassetsintheproportionsthese

assetsconstitutetheentireportfolio.

D.shouldbeconsideredinthecontextoftheeffectonoverallportfoliovolatilityandshouldbe

combinedwiththeriskinessofotherindividualassetsintheproportionstheseassets

constitutetheentireportfolio.

19.Afairgame

A.willnotbeundertakenbyarisk-averseinvestor.

B.isariskyinvestmentwithazeroriskpremium.

C.isarisklessinvestment.

D.willnotbeundertakenbyarisk-averseinvestorandisariskyinvestmentwithazerorisk

premium.

E.willnotbeundertakenbyarisk-averseinvestorandisarisklessinvestment.

20.Thepresenceofriskmeansthat

A.investorswilllosemoney.

B.morethanoneoutcomeispossible.

C.thestandarddeviationofthepayoffislargerthanitsexpectedvalue.

D.finalwealthwillbegreaterthaninitialwealth.

E.terminalwealthwillbelessthaninitialwealth.

21.Theutilityscoreaninvestorassignstoaparticularportfolio,otherthingsequal,

A.willdecreaseastherateofreturnincreases.

B.willdecreaseasthestandarddeviationdecreases.

C.willdecreaseasthevariancedecreases.

D.willincreaseasthevarianceincreases.

E.willincreaseastherateofreturnincreases.

22.Thecertaintyequivalentrateofaportfoliois

A.theratethatarisk-freeinvestmentwouldneedtoofferwithcertaintytobeconsidered

equallyattractiveastheriskyportfolio.

B.theratethattheinvestormustearnforcertaintogiveuptheuseofhismoney.

C.theminimumrateguaranteedbyinstitutionssuchasbanks.

D.theratethatequates"A1intheutilityfunctionwiththeaverageriskaversioncoefficientfor

allrisk-averseinvestors.

E.representedbythescalingfactor"-.005"intheutilityfunction.

23.Accordingtothemean-variancecriterion,whichofthestatementsbelowiscorrect?

InxestmentE(r)StandardDeviation

A10%5%

B21%ll°o

C18%23°o

D240616°o

A.InvestmentBdominatesinvestmentA.

B.InvestmentBdominatesinvestmentC.

C.InvestmentDdominatesalloftheotherinvestments.

D.InvestmentDdominatesonlyinvestmentB.

E.InvestmentCdominstesinvestmentA.

24.Steveismorerisk-aversethanEdie.OnagraphthatshowsSteveandEdie'sindifference

curves,whichofthefollowingistrue?Assumethatthegraphshowsexpectedreturnonthe

verticalaxisandstandarddeviationonthehorizontalaxis.

I)SteveandEdie'sindifferencecurvesmightintersect.

II)Steve'sindifferencecurveswillhaveflatterslopesthanEdie's.

Ill)Steve'sindifferencecurveswillhavesteeperslopesthanEdie's.

IV)SteveandEdie'sindifferencecurveswillnotintersect.

V)Steve'sindifferencecurveswillbedownwardslopingandEdie'swillbeupwardsloping.

A.IandV

B.IandIII

C.IllandIV

D.IandII

E.IIandIV

25.Thecapitalallocationlirecanbedescribedasthe

A.investmentopportunitysetformedwithariskyassetandarisk-freeasset.

B.investmentopportunitysetformedwithtworiskyassets.

C.lineonwhichlieallportfoliosthatofferthesameutilitytoaparticularinvestor.

D.lineonwhichlieallportfolioswiththesameexpectedrateofreturnanddifferentstandard

deviations.

26.Whichofthefollowingstatementsregardingthecapitalallocationline(CAL)isfalse?

A.TheCALshowsrisk-returncombinations.

B.TheslopeoftheCALequalstheincreaseintheexpectedreturnofthecompleteportfolio

perunitofadditionalstandarddeviation.

C.TheslopeoftheCALisalsocalledthereward-to-volatilityratio.

D.TheCALisalsocalledtheefficientfrontierofriskyassetsintheabsenceofarisk-free

asset.

27.Giventhecapitalallocationline,aninvestor'soptimalportfolioistheportfoliothat

A.maximizesherexpectedprofit.

B.maximizesherrisk.

C.minimizesbothherriskandreturn.

D.maximizesherexpectedutility.

E.Noneoftheoptions

28.Aninvestorinvests30%ofhiswealthinariskyassetwithanexpectedrateofreturnof0.15

andavarianceof0.04and70%inaT-billthatpays6%.Hisportfolio'sexpectedreturnand

standarddeviationareand,respectively.

A.0.114;0.12

B.0.087;0.06

C.0.295;0.06

D.0.087;0.12

E.Noneoftheoptions

29.Aninvestorinvests30%ofhiswealthinariskyassetwithanexpectedrateofreturnof0.13

andavarianceof0.03and70%inaT-billthatpays6%.Hisportfolio'sexpectedreturnand

standarddeviationareand,respectively.

A.0.114;0.128

B.0.087;0.063

C.0.295;0.125

D.0.081;0.052

30.Aninvestorinvests40%ofhiswealthinariskyassetwithanexpectedrateofreturnof0.17

andavarianceof0.08and60%inaT-billthatpays4.5%.Hisportfolio'sexpectedreturnand

standarddeviationareand,respectively.

A.0.114;0.126

B.0.087;0.068

C.0.095;0.113

D.0.087;0.124

E.Noneoftheoptions

31.Aninvestorinvests70%ofhiswealthinariskyassetwithanexpectedrateofreturnof0.15

andavarianceof0.04and30%inaT-billthatpays5%.Hisportfolio'sexpectedreturnand

standarddeviationareand,respectively.

A.0.120;0.14

B.0.087;0.06

C.0.295;0.12

D.0.087;0.12

32.Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandard

deviationof0.15andaT-billwitharateofreturnof0.05.

Whatpercentagesofyourmoneymustbeinvestedintheriskyassetandtherisk-freeasset,

respectively,toformaportfoliowithanexpectedreturnof0.09?

A.85%and15%

B.75%and25%

C.67%and33%

D.57%and43%

E.Cannothadetermined

33.Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandard

deviationof0.15andaT-billwitharateofreturnof0.05.

Whatpercentagesofyourmoneymustbeinvestedintherisk-freeassetandtheriskyasset,

respectively,toformaportfoliowithastandarddeviationof0.06?

A.30%and70%

B.50%and50%

C.60%and40%

D.40%and60%

E.Cannotbedetermined

34.Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandard

deviationof0.15andaT-billwitharateofreturnof0.05.

Aportfoliothathasanexpectedoutcomeof$115isformedby

A.investing$100intheriskyasset.

B.investing$80intherskyassetand$20intherisk-freeasset.

C.borrowing$43attherisk-freerateandinvestingthetotalamount($143)intheriskyasset.

D.investing$43intheriskyassetand$57intherisklessasset.

E.Suchaportfoliocannotbeformed.

35.Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandard

deviationof0.15andaT-billwitharateofreturnof0.05.

Theslopeofthecapitalallocationlineformedwiththeriskyassetandtherisk-freeassetis

equalto

A.04667

B.0.8000.

C.2.14.

D.0.41667.

E.Cannotbedetermined

36.ConsideraT-billwitha*ateofreturnof5%andthefollowingriskysecurities:

SecurityA:&=0.15;Variance=0.04

SecurityB:£(/)=0.10;Variance=0.0225

SecurityC:=0.12;Variance=0.01

SecurityD:旦。=0.13;Variance=0.0625

Fromwhichsetofportfolios,formedwiththeT-billandanyoneofthefourriskysecurities,

wouldarisk-averseinvestoralwayschoosehisportfolio?

A.ThesetofportfoliosformedwiththeT-billandsecurityA.

B.ThesetofportfoliosformedwiththeT-billandsecurityB.

C.ThesetofportfoliosformedwiththeT-billandsecurityC.

D.ThesetofportfoliosformedwiththeT-billandsecurityD.

E.Cannotbedetermined

37.Youareconsideringinvesting$1,000inaT-billthatpays0.05andariskyportfolio,P,

constructedwithtworiskysecurities,ZandY.TheweightsofZand/in尸are0.60and0.40,

respectively.Xhasanexpectedrateofreturnof0.14andvarianceof0.01,andKhasan

expectedrateofreturnof0.10andavarianceof0.0081.

Ifyouwanttoformapolfoliowithanexpectedrateofreturnof0.11,whatpercentagesof

yourmoneymustyouinvestintheT-billandP,respectively?

A.0.25;0.75

B.0.19;0.81

C.0.65;0.35

D.0.50;0.50

E.Cannotbedetermined

38.Youareconsideringinvesting$1,000inaT-billthatpays0.05andariskyportfolio,P,

constructedwithtworiskysecurities,XandY.TheweightsofXandZinPare0.60and0.40,

respectively.Xhasanexpectedrateofreturnof0.14andvarianceof0.01,andKhasan

expectedrateofreturnof0.10andavarianceof0.0081.

Ifyouwanttoformapolfoliowithanexpectedrateofreturnof0.10,whatpercentagesof

yourmoneymustyouinvestintheT-bill,X,andY,respectively,ifyoukeepZandKinthe

sameproportionstoeachotherasinportfolioP?

A.0.25;0.45;0.30

B.0.19；0.49；0.32

C.0.32;0.41;0.27

D.0.50;0.30;0.20

E.Cannotbedetermined

39.Youareconsideringinvesting$1,000inaT-billthatpays0.05andariskyportfolio,P,

constructedwithtworiskysecurities,ZandY.TheweightsofZandKinPare0.60and0.40,

respectively.Xhasanexpectedrateofreturnof0.14andvarianceof0.01,andKhasan

expectedrateofreturnof0.10andavarianceof0.0081.

WhatwouldbethedollarvaluesofyourpositionsinXandY,respectively,ifyoudecideto

hold40%ofyourmoneyintheriskyportfolioand60%inT-bills?

A.$240;$360

B.$360;$240

C.$100;$240

D.$240;$160

E.Cannotbedetermined

40.Youareconsideringinvesting$1,000inaT-billthatpays0.05andariskyportfolio,P,

constructedwithtworiskysecurities,XandY.TheweightsofXandKinPare0.60and0.40,

respectively.Xhasanexpectedrateofreturnof0.14andvarianceof0.01,andKhasan

expectedrateofreturnof0.10andavarianceof0.0081.

WhatwouldbethedollarvalueofyourpositionsinX匕andtheT-bills,respectively,ifyou

decidetoholdaportfoliothathasanexpectedoutcomeof$1,120?

A.Cannotbedetermined

B.$568;$378;$54

C.$568;$54;$378

D.$378;$54;$568

E.$108;$514;$378

41.Areward-to-volatilityratioisusefulin

A.measuringthestandarddeviationofreturns.

B.understandinghowreturnsincreaserelativetoriskincreases.

C.analyzingreturnsonvariableratebonds.

D.assessingtheeffectsofinflation.

E.Noneoftheoptions

42.Thechangefromastraighttoakinkedcapitalallocationlineisaresultof

A.reward-to-volatilityratioincreasing.

B.borrowingrateexceedinglendingrate.

C.aninvestor'srisktolerancedecreasing.

D.increaseintheportfolioproportionoftherisk-freeasset.

43.Thefirstmajorstepinassetallocationis

A.assessingrisktolerance.

B.analyzingfinancialstatements.

C.estimatingsecuritybetas.

D.identifyingmarketanomalies.

44.Basedontheirrelativedegreesofrisktolerance

A.investorswillholdvaryingamountsoftheriskyassetintheirportfolios.

B.allinvestorswillhavethesameportfolioassetallocations.

C.investorswillholdvaryingamountsoftherisk-freeassetintheirportfolios.

D.investorswillholdvayingamountsoftheriskyassetandvaryingamountsoftherisk-free

assetintheirportfolios.

45.Assetallocationmayinvolve

A.thedecisionastotheallocationbetweenarisk-freeassetandariskyasset.

B.thedecisionastotheallocationamongdifferentriskyassets.

C.considerablesecurityanalysis.

D.thedecisionastotheallocationbetweenarisk-freeassetandariskyassetandthe

decisionastotheallocationamongdifferentriskyassets.

E.thedecisionastotheallocationbetweenarisk-freeassetandariskyassetand

considerablesecurityanalysis.

46.Inthemean-standarddeviationgraph,thelinethatconnectstherisk-freerateandtheoptimal

riskyportfolio,P、iscalled

A.thesecuritymarketline.

B.thecapitalallocationline.

C.theindifferencecurve.

D.theinvestor'sutilityline.

47.Treasurybillsarecomrronlyviewedasrisk-freeassetsbecause

A.theirshort-termnaturemakestheirvaluesinsensitivetointerestratefluctuations.

B.theinflationuncertaintyovertheirtimetomaturityisnegligible.

C.theirtermtomaturityisidenticaltomostinvestors*desiredholdingperiods.

D.theirshort-termnaturemakestheirvaluesinsensitivetointerestratefluctuationsandthe

inflationuncertaintyovertheirtimetomaturityisnegligible.

E.theinflationuncertaintyovertheirtimetomaturityisnegligibleandtheirtermtomaturityis

identicaltomostinvestors'desiredholdingperiods.

48.Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets

(P)andT-Bills.Theinformationbelowreferstotheseassets.

E(Rp)12.00°b

StandardDeviationofP7.20°o

T-Billrate3.60%

ProportionofCompletePortfolioinP8006

ProportionofCompletePortfolioinT-Bills20%

CompositionofP:

StockA40.00%

StockB25.00%

StockC35.00%

Total100.00%

WhatistheexpectedreturnonBo'scompleteportfolio?

A.10.32%

B.5.28%

C.9.62%

D.8.44%

E.7.58%

49.Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets

{P)andT-Bills.Theinformationbelowreferstotheseassets.

E(Rp)12.00%

StandardDexiationofP7.20°o

T-Billrate3.60%

ProportionofCompletePortfolioinP8006

ProportionofCompletePortfolioinT-Bills20%

CompositionofP:

StockA40.00%

StockB25.00%

StockC35.00%

Total100.00%

WhatisthestandarddeviationofBo'scompleteportfolio?

A.7.20%

B.5.40%

C.6.92%

D.4.98%

E.5.76%

50.Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets

(QandT-Bills.Theinformationbelowreferstotheseassets.

E(Rp)12.00%

StandardDexiationofP7.20°o

T-Billrate3.60%

ProportionofCompletePortfolioinP8006

ProportionofCompletePortfolioinT-Bills20%

CompositionofP:

StockA40.00%

StockB25.00%

StockC35.00%

Total100.00%

WhatistheequationofBo'scapitalallocationline?

A.&⑶=7.2+3.6xStandardDeviationofC

B.旦⑶=3.6+1.167xStandardDeviationofC

C.G⑶=3.6+12.0*StandardDeviationofC

D.E(rd)=0.2+1.167xStandardDeviationofC

E.E(rc)=3.6+0.857xStandardDeviationofC

51.Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets

(QandT-Bills.Theinformationbelowreferstotheseassets.

E(Rp)12.00%

StandardDexiationofP7.20°o

T-Billrate3.60%

ProportionofCompletePortfolioinP8006

ProportionofCompletePortfolioinT-Bills20%

CompositionofP:

StockA40.00%

StockB25.00%

StockC35.00%

Total100.00%

WhataretheproportionsofstocksA,B,andC,respectively,inBo'scompleteportfolio?

A.40%,25%,35%

B.8%,5%,7%

C.32%,20%,28%

D.16%,10%,14%

E.20%,12.5%,17.5%

52.Tobuildanindifferencecurvewecanfirstfindtheutilityofaportfoliowith100%intherisk-

freeasset,then

A.findtheutilityofaportfoliowith0%intherisk-freeasset.

B.changetheexpectedreturnoftheportfolioandequatetheutilitytothestandarddeviation.

C.findanotherutilitylevelwith0%risk.

D.changethestandarddeviationoftheportfolioandfindtheexpectedreturntheinvestor

wouldrequiretomaintainthesameutilitylevel.

E.changetherisk-freerateandfindtheutilitylevelthatresultsinthesamestandard

deviation.

53.Thecapitalmarketline

I)isaspecialcaseofthecapitalallocationline.

II)representstheopportunitysetofapassiveinvestmentstrategy.

Ill)hastheone-monthT-Billrateasitsintercept.

IV)usesabroadindexofcommonstocksasitsriskyportfolio.

A.I,III,andIV

B.II,III,andIV

C.IllandIV

D.I,II,andIII

E.I,II,III,andIV

54.Aninvestorinvests35%ofhiswealthinariskyassetwithanexpectedrateofreturnof0.18

andavarianceof0.10and65%inaT-billthatpays4%.Hisportfolio'sexpectedreturnand

standarddeviationareand,respectively.

A.0.089;0.111

B.0.087;0.063

C.0.096;0.126

D.0.087;0.144

55.Aninvestorinvests30%ofhiswealthinariskyassetwithanexpectedrateofreturnof0.11

andavarianceof0.12and70%inaT-billthatpays3%.Hisportfolio'sexpectedreturnand

standarddeviationareand,respectively.

A.0.086;0.242

B.0.054;0.104

C.0.295;0.123

D.0.087;0.182

E.Noneoftheoptions

56.Youinvest$100inariskyassetwithanexpectedrateofreturnof0.11andastandard

deviationof0.20andaT-billwitharateofreturnof0.03.

Whatpercentagesofyourmoneymustbeinvestedintheriskyassetandtherisk-freeasset,

respectively,toformaportfoliowithanexpectedreturnof0.08?

A.85%and15%

B.75%and25%

C.62.5%and37.