Assignment 1 Instructions Assignment 1 should be submitted after you have completed Unit 2. Assignment 1 contains five problems. The maximum mark for...

Problem 4 (15 marks)

You have $800,000 invested in a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets.

E(rp).00%

σp .00%

T-Bill .6%

Proportion of T-Bill in the complete portfolio: 20%

Proportion of risky portfolio P in the complete portfolio: 80%

Composition of P:

Stock A                    40%

Stock B                    25%

Stock C                    35%

Total                         100%