Question
You manage a risky portfolio with an expected rate of return of 17% and a standard...
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. What is the proportion y?
(Round your answer to the nearest whole
number.)
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 ----- %?
Stock A ---- %?
Stock B ---- %?
Stock 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.)
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