Question
you manage a portfolio (call it P) that has an expected return of 18% with a standard deviation of 25%. The current risk-free rate is
you manage a portfolio (call it P) that has an expected return of 18% with a standard deviation of 25%. The current risk-free rate is 6%. Portfolio P is comprised of three sector funds A, B, and C. The percent invested in various sectors is as follows: 30%in sector A; 50% in sector B, 20% in sector C.
One of your clients wishes to invest an amount in your portfolio (the remainder will be in the risk-free asset). So that the standard deviationof his portfolio will be 20 percent. The percent to invest in portfolio P is closest to:
A)20 percent
B)30 Percent
C)40 Percent
D)80 percent
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