Question
Assume that you manage a risky portfolio with an expected rate of return of 15% and a standard deviation of 37%. The T-bill rate is
Assume that you manage a risky portfolio with an expected rate of return of 15% and a standard deviation of 37%. The T-bill rate is 5%. Your risky portfolio includes the following investments in the given proportions: Stock A 21 % Stock B 30 % Stock C 49 % Your client decides to invest in your risky portfolio a proportion (y) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have an expected rate of return of 14%. a. What is the proportion y? (Round your answer to 3 decimal places.) Proportion y 0.92 b. What are your client's investment proportions in your three stocks and the T-bill fund? (Round your intermediate calculations and final answers to 2 decimal places.) Security Investment Proportions T-Bills % Stock A 19.32 % Stock B 2.76 % Stock C 45.08 % c. What is the standard deviation of the rate of return on your client's portfolio? (Round your intermediate calculations and final answer to 2 decimal places.) Standard deviation % per year rev: 03_12_2018_QC_CS-121512
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