Question

the expected return and standard deviation of S is 14% and 29%, respectively. the expected return and standard deviation of B is 6% and 15%, respectively. correlation between S and B is -0.1

T-bill rate is 1% and The client’s risk aversion (A) is 8

1- What is the expected return and standard deviation of the optimal risky portfolio? 2-Find the proportion of the optimal risky portfolio (= y) in your client’s complete portfolio.

3-What is the expected return and standard deviation of your client’s complete portfolio?

4-What is the overall asset allocation (= % of S, B, and T-bill) of your client’s complete portfolio?

Answer #1

You manage a risky mutual fund with expected rate of return of
18% and standard deviation of 28%. The T-bill rate is 8%.
Your client chooses to invest 70% of a portfolio in your fund
and 30% in a T-bill. What is the expected value and standard
deviation of the rate of return on his portfolio?
Suppose that your risky mutual fund includes the following
investments in the given proportions. What are the investment
proportions of your client’s overall portfolio,...

Assume that you are managing a risky portfolio with expected
rate of return of 18% and standard deviation of 28%. The T-bill
rate is 8%. Your client chooses to invest 70% of a portfolio in
your fund and 30% in a T-bill money market fund. Also, the client’s
expected return of the portfolio is 15% and the standard deviation
of the rate of return on his portfolio is 19.6%.
Suppose that your risky portfolio includes the following
investments in the...

Assume that you manage a risky portfolio with an expected rate
of return of 14% and a standard deviation of 30%. The T-bill rate
is 6%. Your client chooses to invest 85% of a portfolio in your
fund and 15% in a T-bill money market fund.
a. What is the expected return and standard
deviation of your client's portfolio? (Round your answers
to 2 decimal places.)
Expected return
% per year
Standard deviation
% per year
b. Suppose your risky...

Assume that you manage a risky portfolio with an expected rate
of return of 13% and a standard deviation of 45%. The T-bill rate
is 6%. Your client chooses to invest 75% of a portfolio in your
fund and 25% in a T-bill money market fund.
a. What is the expected return and standard
deviation of your client's portfolio? (Round your answers
to 2 decimal places.)
Expected return
?%
Standard deviation
? %
b. Suppose your risky portfolio includes the...

You manage a risky portfolio with an expected rate of return of
18% and a standard deviation of 36%. The T-bill rate is 6%.
Your risky portfolio includes the following investments in the
given proportions: Stock A 27 % Stock B 35 % Stock C 38 %
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 15%
....

You manage a risky portfolio with an expected rate of return of
19% and a standard deviation of 33%. The T-bill rate is 7%. Your
risky portfolio includes the following investments in the given
proportions: Stock A 35 % Stock B 32 % 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 16%.
a....

You manage a risky portfolio with an expected rate of return of
17% and a standard deviation of 28%. The T-bill rate is 7%.
Your risky portfolio includes the following investments in the
given proportions:
Stock A
33
%
Stock B
35
%
Stock C
32
%
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
13%.
a....

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....

You manage a risky portfolio with an expected rate of return of
20% and a standard deviation of 36%. The T-bill rate is 5%. Your
client chooses to invest 60% of a portfolio in your fund and 40% in
a T-bill money market fund.
Suppose that your risky portfolio includes the following
investments in the given proportions:
Stock A
35
%
Stock B
36
%
Stock C
29
%
What are the investment proportions of your client’s overall
portfolio, including...

4) Assume that you manage a risky portfolio with an expected
rate of return of 17% and a standard deviation of 43%. The T-bill
rate is 4%. Your client chooses to invest 70% of a portfolio in
your fund and 30% in a T-bill money market fund.
a. What is the expected return and standard
deviation of your client's portfolio? (Round your answers
to 2 decimal places.)
Expected return
% per year
Standard deviation
% per year
b. Suppose your...

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