You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 36%. The T-bill rate is 6%. Your client'sdegree of risk aversion is A = 3.1, assuming a utility function u =E(r)A02.a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round youranswer to 2 decimal places.)Investment proportion y%b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not roundintermediate calculations. Round your answers to 2 decimal places.)Expected return%Standard deviation%

Given, Expected return = 17% Standard deviation = 36% T-bill rate = 6%

Answered: You manage a risky portfolio with an…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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