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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 and a standard deviation of The Tbill
rate is Stock A Stock B Stock C
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
f What is the investment proportion, y
f What is the expected rate of return on the complete portfolio?
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