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Mathematics, 06.11.2019 03:31 SunsetPrincess
Suppose that your client decides to invest in your portfolio a proportion y of the total investment budget so that the overall portfolio will have an expected rate of return of 16%. i. what is the proportion y? ii. what areyour clientâs investment proportions in your three stocks and the t-bill 2fund? iii. what is the standard deviation of the rate of return on your clientâs portfolio? f. 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 portfolioâs 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 clientâs 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 clientâs optimized portfolio?
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