What are the investment proportions of your clients overall

Reference no: EM13295381

Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%.

a. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. What is the expected return and standard deviation of your client's portfolio?

b. Suppose your risky portfolio includes the following investments in the given proportions:

Stock A 27%
Stock B 33%
Stock C 40%

What are the investment proportions of your client's overall portfolio, including the position in T-bills?

c. What is the reward-to-volatility ratio (S) of your risky portfolio and your client's overall portfolio?

d. Draw the CAL of your portfolio on an expected return/standard deviation diagram. What is the slope of the CAL? Show the position of your client on your fund's CAL?

Reference no: EM13295381

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