You are managing a fund with an expected rate of return of 11% and a standard deviation of 27%. The T-bill rate is 3%.

Your client chooses to invest 80% of his portfolio in your fund and the rest in a T-bill money market fund. What is the expected return of your client's portfolio? Enter your answer as a decimal number, rounded to three decimal places.

The answer isnt

(11% * 80%) + (3% * 27%) = 9.61%