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Assume that you manage a risky portfolio with an expected rate of return of 12%...

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Finance

Assume that you manage a risky portfolio with an expected rate of return of 12% and a standard deviation of 28%. The T-bill rate is 4% A client prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 20%.

a. What is the investment proportion, y? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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

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