Question

6. 15.71 points Problem 5-13 Assume that you manage a risky portfolio with an expected rate of return of 16% and a standard deviation of23%. The T-bill rate is 4.6%. Stock B Stock C 37% Suppose a dlient the remainder in a T-bill money market fund so that his overal portfolio will have an expected rate of return of 14.86%. to invest in your risky portfollo a proportion (y) of his total investment budget with (a) What is the proportion y? (Round your answer to 1 decimal place.) (b) What are your client's investment proportions in your three stocks and the T-bill fund? (Round your answers to 2 decimal places. Omit the "%" sign in your response.) SecurityInvestment Proportions T-Bills Stock C (c) What is the standard deviation of the rate of return on your clients portfolio? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Answer 1

a) Let Investment in ortio חו Stock Az 90 X 26=23·y Shock B 90x37 33-3 Stock C 90 X 37 33.3 Standard Deviahan el Rate al Return