Assume that as a professional portfolio manager, you manage a risky portfolio with an expected rate of return of 11.5% and a standard deviation of 20%. The T-bill rate is 5%. Suppose your client prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolios standard deviation will not exceed 12%.

8. What is the investment proportion y? 9. What is the expected rate of return on the complete portfolio? 10. What is the Sharpe ratio of your clients overall portfolio?