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Assume that you manage a risky portfolio with an expected rate of return of 18%...

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Accounting

Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 34%. The T-bill rate is 5.5%

Stock A = 32%

Stock B = 36%

Stock C = 32%

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 30%.

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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