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Assume that you manage a risky portfolio with an expected rate of return of 12% and...

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Finance

Assume that you manage a risky portfolio with an expected rateof return of 12% and a standard deviation of 47%. The T-bill rateis 4%.

Your risky portfolio includes the following investments in thegiven proportions:

  Stock A31%
  Stock B31%
  Stock C38%

Your client decides to invest in your risky portfolio aproportion (y) of his total investment budget with theremainder in a T-bill money market fund so that his overallportfolio will have an expected rate of return of 10%.

a.What is the proportion y? (Round your answerto 2 decimal places.)
  Proportion y  

   

b.

What are your client's investment proportions in your threestocks and the T-bill fund? (Round your intermediatecalculations and final answers to 2 decimal places.)

   SecurityInvestment
Proportions
   T-Bills%     
   Stock A%     
   Stock B%     
   Stock C%     
c.

What is the standard deviation of the rate of return on yourclient's portfolio? (Round your intermediate calculationsand final answer to 2 decimal places.)

  Standard deviation% per year

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