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Please help answering. Thanks You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 34%. The T-bill
Please help answering. Thanks
You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 34%. The T-bill rate is 8%. Your client's degree of risk aversion is A = 3.2, assuming a utility function U= E) - 12A0%. 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 % b. What is 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.) Expected return Standard deviationStep by Step Solution
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