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You manage a risky portfolio P that has the following characteristics: expected return = 16%...

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Accounting

You manage a risky portfolio P that has the following characteristics: expected return = 16% and the standard deviation of the return of your portfolio = 20%. The risk- free rate is at 4%. Your client wants to invest a proportion of her total investment budget in your risky portfolio to maximize expected return and at the same time limit the volatility to no higher than 16% on her overall portfolio. Then the proportion she should invest in your risky portfolio is

A.

80%
B.

70%
C.

78%
D.

65%
E.

75%

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