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%. Your risky portfolio includes the following investments in the given proportions: 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 11%.

Stock A	20%
Stock B	30%
Stock C	50%

a. What is the proportion y?

b. What are your client's investment proportions in your three stocks and in T-bills?

Security	Investment Proportions
T-Bills		%
Stock A		%
Stock B		%
Stock C		%

c. What is the standard deviation of the rate of return on your client's portfolio?