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You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 30%. The T-bill rate is 4%. Suppose
You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 30%. The T-bill rate is 4%.
Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolios standard deviation will not exceed 19%.
Your risky portfolio includes the following investments in the given proportions: Stock A Stock B Stock C 35% 36% 29% Suppose that your client decides to invest in your portfolio a proportion y 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 y % 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 place.) Investment Proportions T-Bills Stock A Stock B Stock C c. What is the standard deviation of the rate of return on your client's portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal place.) Standard deviationStep by Step Solution
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