Assume that you manage a risky portfolio with an expected rate of return of 26% and a standard deviation of 36%. The T-bill rate is 8%. 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 14%. What is the proportion y? (Assignment 1 and exam review)

• 33%
• 66%
• 38%
• 50%
• 14%