5. You manage a risky portfolio with an expected rate of return of 20% and a standard deviation of 36%. The T-bill rate is 5%. Your client chooses to invest 60% of a portfolio in your fund and 40% in a T-bill money market fund. Suppose that your risky portfolio includes the following investments in the given proportions:

Stock A	35	%
Stock B	36	%
Stock C	29	%

What are the investment proportions of your clients overall portfolio, including the position in T-bills? (Round your answers to 1 decimal place.

INVESTMENT PORTFOLIO

T-BILLS %

STOCK A %

STOCK B %

STOCK C %

6.

6. Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Calculate the utility levels of each portfolio for an investor with A = 3. Assume the utility function is U = E(r) 0.5 A². (Negative amounts should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.)

WBILL WINDEX U(A=3)

0.0 1.0

0.2 0.8

0.4 0.6

0.6 0.4

0.8 0.2

1.0 0.0