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You manage a risky portfolio with expected rate of return of 12% and a standard deviation of 24%. The T-bill rate is 3%. Return to
You manage a risky portfolio with expected rate of return of 12% and a standard deviation of 24%. The T-bill rate is 3%.
- Return to the original example (40% in your fund and 60% in T-bill). Your clients degree of risk aversion is A = 8.0.
- What proportion, y, of the total investment should be invested in your risky fund?
- What is the expected value and standard deviation of the rate of return on your clients optimized portfolio?
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