You manage a risky portfolio P that has the following characteristics: expected return = 16%...
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You manage a risky portfolio P that has the following characteristics: expected return = 16% and the standard deviation of the return of your portfolio = 20%. The risk- free rate is at 4%. Your client wants to invest a proportion of her total investment budget in your risky portfolio to maximize expected return and at the same time limit the volatility to no higher than 16% on her overall portfolio. Then the proportion she should invest in your risky portfolio is
| A. | 80% | |
| B. | 70% | |
| C. | 78% | |
| D. | 65% | |
| E. | 75% |
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