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please check Problem 6-19 You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 35%. The T-bill
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Problem 6-19 You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 35%. The T-bill rate is 5%. Your client's degree of risk aversion is A = 2.2, assuming a utility function u = E(r) - A02. 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.) Investment proportion y 44.53 % b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) 10.34% Expected return Standard deviation 15.59%Step by Step Solution
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