Question
In: Finance
Clinton Vines has an $800,000 portfolio. He will invest his funds in the market portfolio (with...
Clinton Vines has an $800,000 portfolio. He will invest his funds in the market portfolio (with a return and risk of 8.5% and 17%, respectively) and in risk-free securities (with a risk-free return and risk of 3.3% and 0%, respectively). If he wants the highest possible return subject to his risk being no greater than 14%, how much will Clinton invest in T-bills and in the market portfolio?
| A. |
$141,000 in T-bills and $659,000 in the market portfolio |
|
| B. |
-$26,000 in T-bills and $826,000 in the market portfolio |
|
| C. |
$400,000 in T-bills and $400,000 in the market portfolio |
|
| D. |
$204,000 in T-bills and $596,000 in the market portfolio |
Solutions
Expert Solution
DESIRED STANDARD DEVIATION = WEIGHT OF RISKY PORTFOLIO X
STANDARD DEVIATION OF RISKY PORTFOLIO
jeff jeffy answered 6 months agoRelated Solutions
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