Maurice Tutor

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    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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    Phoniex University
    Oct-2001 - Nov-2016

Category > Management Posted 28 Sep 2017 My Price 7.00

risky portfolio

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%.

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. Enter your answer as a percentage rounded to two decimal places.)

   

  Investment proportion y %

   

b.

What is the expected rate of return on your client's overall portfolio? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.)

   

  Rate of return %

 

Answers

Maurice Tutor
(5)
Status NEW Posted 28 Sep 2017 01:09 PM My Price 7.00

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