You are creating a portfolio C by investing 2000 USD in a risk free Treasury bill that pays 0.05 and a risky portfolio, P. The risky portfolio P is constructed out of two risky securities, X and Y, with a fraction of 0.6 of the portfolio P invested into security X and a fraction of 0.4 of the portfolio P invested into security Y. The security X has an expected rate of return of 0.14 and variance of 0.01, and the security Y has an expected rate of return of 0.10 and a variance of 0.0081. The correlation coefficient for securities X and Y is 0.3.
If you would like portfolio C to have an expected rate of return of 0.11, you would have to invest some money into the Treasury bill and some money into portfolio P. How much money would you invest into the Treasury bill? Round off your answer to nearest integer number.
Remark: If you for example find out that you should invest 446.837 USD into the Treasury bill, you should