Assume that you manage a risky portfolio with an expected rate of return of 13% and a standard deviation of 23%. The T-bill rate is 3%.
Your client now decides to change his previous investment of y. Instead, now he decides to invest in your risky portfolio a [new] proportion (y) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have an expected rate of return of 12%.
What is the new proportion of y?