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Assume that you manage a risky portfolio with an expected rate of return of 13% and a standard deviation of 45%. The T-bill rate is
Assume that you manage a risky portfolio with an expected rate of return of 13% and a standard deviation of 45%. The T-bill rate is 6%. Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund. a. What is the expected return and standard deviation of your client's portfolio? (Round your answers to 2 decimal places.) Expected return Standard deviation % per year % per year b. Suppose your risky portfolio includes the following investments in the given proportions: Stock A Stock B Stock C 29% 38% 33% What are the investment proportions of your client's overall portfolio, including the position in T-bills? (Round your answers to 2 decimal places.) Investment Proportions Security T-Bills Stock A Stock B Stock C X 8 c. What is the reward-to-volatility ratio (9) of your risky portfolio and your client's overall portfolio? (Round your answers to 4 decimal places.) Reward-to-Volatility Ratio Risky portfolio Client's overall portfolio
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