You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.

You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. 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 0.06?  

A. 30% AND 70%

B. 50% AND 50%

C. 60% AND 40%

D. 40% AND 60%

I picked (D.) - is that correct?

You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviationof 0.15 and a T-bill with a rate of return of 0.05. What percentages of your money must beinvested...