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Assume that you manage a risky portfolio with an expected rate of return of 20% and...

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 %

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