You manage a risky portfolio with an expected rate of return of
22% and a standard deviation of 34%. The T-bill rate is 6%.
Your risky portfolio includes the following investments in the
given proportions:
Stock A | 31 | % |
Stock B | 36 | % |
Stock C | 33 | % |
Suppose that your client decides to invest in your portfolio a
proportion y of the total investment budget so that the
overall portfolio will have an expected rate of return of
18%.
a. What is the proportion y?
(Round your answer to the nearest whole
number.)
Y=
b. What are your client’s investment proportions
in your three stocks and the T-bill fund? (Do not round
intermediate calculations. Round your answers to 2 decimal
places.)
T-Bills=
A=
B=
C=
c. What is the standard deviation of the rate of
return on your client’s portfolio? (Do not round
intermediate calculations. Round your answer to 2 decimal
places.)
SD=
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