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Problem 5-13 Assume that you manage a risky portfolio with an expected rate of retum of 23% and a standard deviation of 43%. The T-bill
Problem 5-13 Assume that you manage a risky portfolio with an expected rate of retum of 23% and a standard deviation of 43%. The T-bill rate is 3%. Your risky portfolio includes the following investments in the given proportions: Stock A Stock B Stock C 27% 36 32 Your client decides to invest in your risky portfolio a proportion (y) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have an expected rate of return of 21 % a What is the proportion y? (Round your answer to 1 decimal places.) Proportion y % b What are your client's investment proportions in your three stocks and in T-bills? (Round your intermediate calculations and final answers to 2 decimal places.) Investment Proportions Security T-Bills % % Stock A Stock B Stock C % What is the standard deviation of the rate of return on your client's portfolio per year? (Round your intermediate calculations and final answer to 1 decimal places.)
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