chap 5 q 5

Assume that you manage a risky portfolio with an expected rate of return of 13% and a standard deviation of 20% The T-bil rate is 5% Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bil 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 Standard deviation % per year per year b. Suppose your risky portfolio includes the following investments in the given proportions: Stock Stock B Stock 22% 31% 47% What are the investment proportions of your client's overall portfolio, including the position in Tbils? (Round your answers to 2 decimal places.) Investment Security Proportions T.Bals % 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 decimal places) Reward-to-Volatility Ratio Roky portfolio Client's overall portfolio P