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You manage a risky portfolio with an expected rate of return of 21% and a standard deviation of 33%. The T-bill rate is 8% Suppose
You manage a risky portfolio with an expected rate of return of 21% and a standard deviation of 33%. The T-bill rate is 8% Suppose the client prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall (complete) portfolio's standard deviation will not exceed 23%. Which of the following is closest to the investment proportion, y, in the risky portfolio?
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