The Risk-Free Interest Rate In The Market 

Question Description

In a market, the risk-free interest rate is given to be 0.04. Consider a portfolio Y in this market, whose Sharpe ratio is 0.4. He constructs his portfolio where he put a third of his wealth in the portfolio Y and the remainder of his wealth in the risk-free asset.

The expected return of this portfolio is 0.08. He then decides to rebalance your portfolio so that its volatility will be 6%. How much must he invest in the risk-free asset?