Assume that you manage a risky portfolio with an expected rate of return of 15% and a standard deviation of 25%. The T-bill rate is 5%.

1. Suppose that your risky portfolio includes the following investments in the given proportions: Stock A: 50%, Stock B: 30%, Stock C: 20%. Your client chooses to invest 60% of a portfolio in your risky fund. What are the investment proportions of your clients overall portfolio from A to C respectively? *

30%, 18%, 12%

12%. 18%, 30%

30%, 30%, 30%

None of the above

2. What is the reward-to-volatility ratio of your risky portfolio? *

0.15

0.05

0.40

0.0

None of the above

3. Assume that your client decides to invest in your portfolio a proportion y of the total investment budget so that the overall portfolio will have an expected rate of return of 10%. What is the proportion y? *

25%

2.0%

50%

40%

None of the above

4. From the previous problem, what is the standard deviation of the rate of return on your clients portfolio? *

50%

25%

12.5%

10%

None of the above

5. Assume that your clients degree of risk aversion is A = 2. What is y*? *

0.25

0.15

0.05

0.8

None of the above

6. What is the expected value of the rate of return on your clients optimized portfolio? *

10%

11%

12%

13%

None of the above

7. What is the standard deviation of the rate of return on your clients optimized portfolio? *

10%

15%

20%

25%

None of the above