You invest $10,000 in a complete portfolio. The complete portfolio is composed of a risky asset with an expected rate of return of 15% and a standard deviation of 21% and a Treasury bill with a rate of return of 5%.
a. The slope of the capital allocation line formed with the risky asset and the risk-free asset is approximately _______.
b. If you want your complete portfolio to have a standard deviation of 15%, what percentage of your complete portfolio should be invested in the risky portfolio?
c. How much money should be invested in the risky asset to form a portfolio with an expected return of 11%? What is the standard deviation of your portfolio?
d. If your risk aversion is 3, what is your optimal position in the risky asset?