Assume that you manage a risky portfolio with an e... Assume that 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 clients degree of risk aversion is A = 1.6, assuming a utility function U = E(r) - A. 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. Omit the "%" sign in your response.) Investment proportion y % b. What is the expected value and standard deviation of the rate of return on your clients optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.) Expected return % Standard deviation %