Question
Assume that you manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 35%. The T-bill rate is
Assume that you manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 35%. The T-bill rate is 6%.
Your risky portfolio includes the following investments in the given proportions: |
Stock A | 33 | % |
Stock B | 36 | % |
Stock C | 31 | % |
Suppose 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 18%. |
a. | What is the proportion y? (Round your answer to the nearest whole number. Omit the "%" sign in your response.) |
Proportion y | % |
b. | What are your clients investment proportions in your three stocks and the T-bill fund? (Do not round intermediate calculations. Round your answers to 2 decimal place. Omit the "%" sign in your response.) |
Investment Proportions | ||
T-Bills | % | |
Stock A | % | |
Stock B | % | |
Stock C | % | |
c. | What is the standard deviation of the rate of return on your clients portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal place. Omit the "%" sign in your response.) |
Standard deviation | % |
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