Problem in Treynor black

CFA Level II
#21

now that’s how you post a question!

the correct way to think it is :

0.45 = ( 0.10 - 0.03 ) / sigma

sigma = 15.556%

optimal portfolio for a given investor who allocate 70% of his money to risk free assets and 30% to the optimal portfolio is

0.70 * 0 + 0.30 * 0.15556 = 0.0466

so 14hours later, the answer is A

#22

yep, but just be careful not to calculate std dev of portfolio as weighted average std deviation. Here it’s ok, because one std dev = 0, but not in all cases.

I know summerside you know this because you mentioned it on top when you asked about covariances.