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Assume that you manage a risky portfolio with an expected rate of return of 15% and a standard deviation of 40%. 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 40%. The T-bill rate is 5%. A client prefers to invest in your portfolio a proportion () that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 30%. a. What is the investment proportion, y? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) Investment proportion y b. What is the expected rate of return on your client's overall portfolio? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) Rate of return
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