Question $11$

Assume that you manage a risky portfolio with an expected rate of

return of $12\%$ and a standard deviation of $15\%.$ The $T-$bill rate is

$5\%.$ Suppose 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, aiming for an overall portfolio with an

expected rate of return of $10\%.$

What is the standard deviation of your client's portfolio?

$9\mathrm{.}42\%$

$8\mathrm{.}57\%$

$11\mathrm{.}22\%$

$4\mathrm{.}29\%$

$10\mathrm{.}71\%$