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You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 37%. The T-bill rate is 5% Suppose

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You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 37%. The T-bill rate is 5% Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the completo portfolio subject to the constraint that the complete portfolio's standard deviation will not exceed 17% a. What is the investment proportion, y? (Round your answer to 2 decimal places.) Investment proportion y b. What is the expected rate of return on the complete portfolio? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) % Rate of return Check my won Greta, an elderly investor, has a degree of risk aversion of A=5 when applied to return on wealth over a one-year horizon. She is pondering two portfolios, the S&P 500 and a hedge fund, as well as a number of 5-year strategies. All rates are annual, continuously compounded.) The S&P 500 risk premium is estimated at 7% per year with a SD of 19%. The hedge fund risk premium is estimated at 11% with a SD of 38%. The return on each of these portfolios in any year is uncorrelated with its return of the return of any other portfolio in any other year. The hedge fund management claims the correlation coefficient between the annual returns on the S&P 500 and the hedge fund in the same year is zero, but Greta believes this is far from certain Compute the estimated 1-year risk premiums, SDs, and Sharpe ratios for the two portfolios. (Do not found your intermediate calculations. Round "Sharpe ratios" to 4 decimal places and other answers to 2 decimal places.) S&P Portfolio Hedge Fund Portfolio Risk premiums SDs Sharpe ratios

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