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Problem 5-13 (Static) Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%.
Problem 5-13 (Static) Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. Your risky portfolio includes the following investments in the given proportions: Stock A Stock B Stock C 27% 33 40 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 15%. Required: a. What is the proportion y? (Round your answer to 1 decimal place.) Proportion y % b. What are your client's investment proportions in your three stocks and in T-bills? (Round your answers to 1 decimal place.) Security Investment Proportions T-Bills % Stock A % Stock B % Stock C % c. What is the standard deviation of the rate of return on your client's portfolio? (Round your answer to 1 decimal place.) Standard deviation % per year
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