Assume that you manage a risky portfolio with an expected rate of return of 20% and a standard deviation of 37%. The T-bill rate is 7%. Your clients degree of risk aversion is A = 2.5, 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		%