Question: Assume that you manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 35%. The T-bill rate is 6%.
Your risky portfolio includes the following investments in the given proportions:
Stock A 33 %
Stock B 36 %
Stock C 31 %
Suppose that your client decides to invest in your portfolio a proportion y of the total investment budget so that the overall portfolio will have an expected rate of return of 18%.
a. What is the proportion y? (Round your answer to the nearest whole number. Omit the "%" sign in your response.)
Proportion y %
b. What are your client's investment proportions in your three stocks and the T-bill fund? (Do not round intermediate calculations. Round your answers to 2 decimal place. Omit the "%" sign in your response.)
Investment
Proportions
T-Bills %
Stock A %
Stock B %
Stock C %
c. What is the standard deviation of the rate of return on your client's portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal place. Omit the "%" sign in your response.)
Standard deviation %