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 A
28
%
  Stock B
37
%
  Stock C
35
%
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%.
   Â
a.
What is the investment proportion, y? (Do notround intermediate calculations. Round your answer to 2 decimalplaces.)
   Â
  Investment proportion y
%
   Â
b.
What is the expected rate of return on the overall portfolio?(Do not round intermediate calculations. Round your answerto 2 decimal places.)
   Â
  Rate of return
%
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