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Part II. (46 points total) Show your work (formulas and steps) 1. (8 points) Assume...

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Part II. (46 points total) Show your work (formulas and steps) 1. (8 points) Assume you manage a risky portfolio with an expected return of 17% and a standard deviation of 27%. The T-bill rate is 7%. Your client chooses to invest a proportion (y) of his portfolio in your fund and the rest (1-y) in the T-bill money market fund. (4 points) If his overall portfo proportion y in the risky asset? lio will have an expected rate of refurn of 1 5%. Vhat is the a. 1 1.133 15 b. (4 points) If his risk aversion is 3, what is his optimal position in the risky asset () 2 3) (i6) rV

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