What is the investment proportion

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Reference no: EM131937387

Question: Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 29%. The T-bill rate is 5%.

Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolio's standard deviation will not exceed 17%.

a. What is the investment proportion, y? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

b. What is the expected rate of return on the complete portfolio? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Reference no: EM131937387

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