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Business, 07.03.2020 04:55 anonymous176

Assume that you manage a risky portfolio with an expected rate of return of 16% and a standard deviation of 32%. The T-bill rate is 5%. Your client chooses to invest 80% of a portfolio in your fund and 20% in a T-bill money market fund.

a. What is the expected return and standard deviation of your client's portfolio? (Round your answers to 2 decimal places.)

Expected return % per year
Standard deviation % per year
b. Suppose your risky portfolio includes the following investments in the given proportions:

Stock A 28%
Stock B 34%
Stock C 38%
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

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