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Business, 06.11.2019 03:31 KittyLoverCat

Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolio’s standard deviation will not exceed 18%. i. what is the investment proportion, y? ii. what is the expected rate of return on the complete portfolio? g. your client’s degree of risk aversion is a =3.5. i. what proportion, y, of the total investment should be invested in your fund? ii. what is the expected value and standard deviation of the rate of return on your client’s optimized portfolio?

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