Question
Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 29%. The T-bill rate is
Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 29%. The T-bill rate is 8%. Your clients degree of risk aversion is A = 2.9, assuming a utility function U = E(r) - A. |
a. | What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "%" sign in your response.) |
Investment proportion y | % |
b. | What is the expected value and standard deviation of the rate of return on your clients optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.) |
Expected return | % | |
Standard deviation | % | |
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