Question $1$:

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 client chooses to invest $70\%$ of a portfolio in your fund and $30\%$ in a T$-$bill money market

fund.

Calculate the client expected return on the complete portfolio

Calculate the reward$-$to$-$variability ratio $($Sharpe ratio$)$:

Part B

A three$-$asset portfolio has the following characteristics:

What is the expected return on this three$-$asset portfolio?