$9-10)$

Your client holds a complete portfolio that consists of a portfolio of risky assets $($P$)$ and T$.$

Bills. The information below refers to these assets.

$E(Rp)$

Standard deviation of $P,13\%$

$T-$Bill rate $28\%$

$,4\%$

Composition of $P$

Stock A $40\mathrm{.}00\%$

Stock B $25\mathrm{.}00\%$

Stock C $35\mathrm{.}00\%$

If your client is $80\%$ in portfolio $P$ and $20\%$ in T$-$Bills, what is the expected return and

standard deviation of her portfolio?

A$)$ expected return $=8\mathrm{.}71\%$ and standard deviation $=12\mathrm{.}91\%$

B$)$ expected return $=11\mathrm{.}20\%$ and standard deviation $=22\mathrm{.}40\%$

C$)$ expected return $=14\mathrm{.}31\%$ and standard deviation $=18\mathrm{.}72\%$

D$)$ expected return $=16\mathrm{.}10\%$ and standard deviation $=20\mathrm{.}00\%$

E$)$ None of the above

If she has a degree of risk aversion, $A=3\mathrm{.}5,$ what proportion of her money shoul

invested in the risk$-$free asset?

A$)32\mathrm{.}8\%$

B$)46\mathrm{.}7\%$

C$)54\mathrm{.}3\%$

D$)67\mathrm{.}2\%$

E$)$ None of the above