question archive You manage a risky portfolio with expected rate of return of 7% and standard deviation of 15%
You manage a risky portfolio with expected rate of return of 7% and standard deviation of 15%
Subject:FinancePrice: Bought3
You manage a risky portfolio with expected rate of return of 7% and standard deviation of 15%. The T-bill rate is 4%.
1)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 10%, what is the investment proportion y?
2.Your client's degree of risk aversion is A = 3, what proportion, y, of the total investment should be invested in your fund? What is the expected value and standard deviation of the rate of return on your client's optimized portfolio?
