I. Assume that you manage a risky portfolio with an expected return of 17% and a standard deviation of 27%. The T-bill rate is 7%. You client choose to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. a) What is the expected return and standard deviation of your client's portfolio!? b) What is the Sharpe Ratio of your risky portfolio and your client's overall portfolio? c) Suppose your risky portfolio includes the following investment in the given proportions: Stock A Stock B Stock C 27% 33% 40% What are the investment proportions of your client's overall portfolio, including the position in T-bills? d) Draw the CAL of your portfolio on an expected return/standard deviation diagram. What is the slope of the CAL? Show the position of your client on your fund's CAL e) Suppose the client decides to invest in your risky portfolio a proportion (y) of his total investment budget so that his overall portfolio will have an expected return of 15%. What is the proportion f) Suppose the client decides to invest in your risky portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 20%, what is the proportion of y? g) You client wonders whether to switch the 70% that is invested in your fund to another fund which yields an expected return of 13% with a standard deviation of 25%. Please use the knowledge you learn in this class to convince your client that staying is a better choice