In: Finance
Assume that you manage a risky portfolio with an expected rate of return of 20% and a standard deviation of 44%. The T-bill rate is 4%. |
Stock A | 28 | % |
Stock B | 37 | % |
Stock C | 35 | % |
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 35%. |
a. | What is the investment proportion, y? (Do not round intermediate calculations. Round your answer to 2 decimal places.) |
Investment proportion y | % |
b. |
What is the expected rate of return on the overall portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) |
Rate of return | % |