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Assume that you manage a risky portfolio with an expected rate of return of 20% and...

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Finance

Assume that you manage a risky portfolio with an expected rateof return of 20% and a standard deviation of 44%. The T-bill rateis 4%.

  Stock A28%
  Stock B37%
  Stock C35%

A client prefers to invest in your portfolio a proportion(y) that maximizes the expected return on the overallportfolio subject to the constraint that the overall portfolio'sstandard deviation will not exceed 35%.

    

a.What is the investment proportion, y? (Do notround intermediate calculations. Round your answer to 2 decimalplaces.)

    

  Investment proportion y%

    

b.

What is the expected rate of return on the overall portfolio?(Do not round intermediate calculations. Round your answerto 2 decimal places.)

    

  Rate of return%

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