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You manage a risky portfolio with an expected rate of return of 1 8 % and a standard deviation of 2 8 % . The

You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill
rate is 8%. Stock A 25% Stock B 32% Stock C 43%
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 18%.
f.1. What is the investment proportion, y?
f.2. What is the expected rate of return on the complete portfolio?

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