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Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 34%. The T-bill rate is

Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 34%. The T-bill rate is 4%. Your client chooses to invest 85% of a portfolio in your fund and 15% in a T-bill money market fund.

a. What is the expected return and standard deviation of your client's portfolio? (Round your answers to 2 decimal places.)

Expected return % per year
Standard deviation % per year

b. Suppose your risky portfolio includes the following investments in the given proportions:

Stock A 32%
Stock B 36%
Stock C 32%

What are the investment proportions of your clients overall portfolio, including the position in T-bills? (Round your answers to 2 decimal places.)

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

c. What is the reward-to-volatility ratio (S) of your risky portfolio and your client's overall portfolio? (Round your answers to 4 decimal places.)

Reward-to-Volatility Ratio
Risky portfolio
Clients overall portfolio

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