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I thought it was 16.82% but apparently not. Need explanation please! Assume that you manage a risky portfolio with an expected rate of return of
I thought it was 16.82% but apparently not. Need explanation please!
Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 34%. The T-bill rate is 5.5% A client prefers to invest in your portfolio a proportion (9) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 30%. a. What is the investment proportion, y? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Investment proportion y 88.24% b. What is the expected rate of return on the overall portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Rate of return %Step by Step Solution
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