Q:2

Q:4

2 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) - A. 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.) 8003657 Investment proportion y 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.) Expected retum Standard deviation 4 You manage a risky portfolio with an expected rate of return of 21% and a standard deviation of 35%. The T-bill rate is 5%. Your risky portfolio Includes the following investments in the given proportions: Stock A Stock Stock 250 35 8 00:33:15 Suppose that your client decides to invest in your portfolio a proportion of the total investment budget so that the overall portfolio will have an expected rate of return of 17% a. What is the proportion y? (Round your answer to the nearest whole number) Proportion b. What are your client's investment proportions in your three stocks and the T-bill fund? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) Investment Proportions T. StockA Stock Stock