6-11

You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 30%. The T-bill rate is 4%. Your client's degree of risk aversion is A=1.9, assuming a utility function U=E(r)1/22. a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.)