You manage a risky portfolio with an expected rate of return of 20% and a standard deviation of 35%. 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 complete portfolio subject to the constraint that the complete portfolios standard deviation will not exceed 22%. a. What is the investment proportion, y?

b. What is the expected rate of return on the complete portfolio?