Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund.

What are the investment proportions of your clients overall portfolio, including the position in T-bills? Stock A 27% Stock B 33% Stock C 40%

c) What is the reward-to-volatility ratio ( S ) of your risky portfolio and your clients overall portfolio?

Risky portfolio

Clients overall portfolio