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You manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 29%. The T-bill rate is 3%. Suppose
You manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 29%. The T-bill rate is 3%. 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 14%. Required: What is the investment proportion, y? What is the expected rate of return on the complete portfolio
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