Question
Assume that you manage a risky portfolio with an expected rate of return of 12% and a standard deviation of 28%. The T-bill rate is
Assume that you manage a risky portfolio with an expected rate of return of 12% and a standard deviation of 28%. The T-bill rate is 4%
Stock A | 20 | % |
Stock B | 30 | % |
Stock C | 50 | % |
A client prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 20%.
a. What is the investment proportion, y? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Investment proportion y %
b. What is the expected rate of return on the overall portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Rate of return %
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