Question
Assume that you manage a risky portfolio with an expected rate of return of 13% and a standard deviation of 37%. The T-bill rate is
Assume that you manage a risky portfolio with an expected rate of return of 13% and a standard deviation of 37%. The T-bill rate is 4%. Your client chooses to invest 75% of a portfolio in your fund and 25% 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 21% Stock B 30% Stock C 49% 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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