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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%. Your
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%. Your client's degree of risk aversion is A = 2.1, assuming a utility function U= E(1) - 12A02. a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Investment proportion y 46.64 % b. What is the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Expected return % Standard deviation %
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