Question
You manage a risky portfolio with an expected rate of return of 11% and a standard deviation of 37%. The T-bill rate is 4%. Stock
You manage a risky portfolio with an expected rate of return of 11% and a standard deviation of 37%. The T-bill rate is 4%.
| Stock A | 29% |
|---|---|
| Stock B | 35% |
| Stock C | 36% |
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 10%.
Required:
What is the proportion y?
What are your clients investment proportions in your three stocks and the T-bill fund?
What is the standard deviation of the rate of return on your clients portfolio?
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QFinance The Ultimate Resource
Authors: Various Authors
1st Edition
1849300003, 978-1849300001
