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NemiM [27]
3 years ago
12

You manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 35%. The T-bill rate is 6%. Your

client chooses to invest 75% of a portfolio in your fund and 25% in an essentially risk-free money market fund. a. What is the expected return and standard deviation of the rate of return on his portfolio?Expected return % per year
Standard deviation % per year
b. Suppose your risky portfolio includes the following investments in the given proportions:
Stock A 30%
Stock B 35%
Stock C 35%
What are the investment proportions of your client’s overall portfolio, including the position in T-bills? (Round your answers to 2 decimal places.)
Security Investment
Proportions
T-Bills %
Stock A %
Stock B %
Stock C %
c. What is the reward-to-volatility ratio (S) of your risky portfolio and your client's overall portfolio? (Round your answers to 4 decimal places.)
Reward-to-Volatility Ratio
Risky portfolio
Client’s overall portfolio
Business
1 answer:
muminat3 years ago
5 0

Answer

The answer and procedures of the exercise are attached in the following archives.

Explanation  

You will find the procedures, formulas or necessary explanations in the archive attached below. If you have any question ask and I will aclare your doubts kindly.  

Download xlsx
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