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Can someone help me determine the correct responses to this question? Assume that you manage a risky portfolio with an expected rate of return of
Can someone help me determine the correct responses to this question?
Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 30%. The T-bill rate is 6%. A client prefers to invest in your portfolio a proportion (%) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 20%. a. What is the investment proportion, y? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) Investment proportion y % b. What is the expected rate of return on your client's overall portfolio? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) Rate of return %Step by Step Solution
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