You are evaluating portfolio choices under the framework of mean-variance analysis. The optimal risky portfolio P* has: An expected return of 12.5% A standard deviation of 25% The current risk-free rate in the market is 2.0%. Investor A is aggressive and chooses an optimal complete portfolio with a standard deviation of 28%. What is the expected return of Investor A’s optimal complete portfolio?

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You are evaluating portfolio choices under

the framework of mean-variance analysis. The optimal risky portfolio P* has:

The current risk-free rate in the market is

2.0%.

Investor A is aggressive and chooses an optimal

complete portfolio with a standard deviation of 28%.

What is the expected
return of Investor A’s optimal complete portfolio?

8.30%

20%

12.5%

13.76%

100%

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