Assume that you manage a risky portfolio with an expected rate of return of 17% and a
Fantastic news! We've Found the answer you've been seeking!
Question:
Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 35%. The T-bill rate is 4.5%. |
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 25%. |
What is the investment proportion, y?
proportion, y?
Posted Date: