Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 34%. The T-bill rate is 5.5%
Stock A = 32%
Stock B = 36%
Stock C = 32%
A client prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 30%.
a. What is the investment proportion, y? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
b. What is the expected rate of return on the overall portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.)