- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 62. Portfolio Risk and Return: Part I
- Subject 4. Risk Aversion and Portfolio Selection
CFA Practice Question
You invest $100 in a risky asset with an expected rate of return of 12% and a standard deviation of 15% and a T-bill with a rate of return of 5%. What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 6%?
A. 30% and 70%
B. 60% and 40%
C. 40% and 60%
Explanation: 40% x 15% = 6%
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