You manage a risky portfolio with an expected rate of return of 17% and a standard...

 

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You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 29%. The T-bill rate is 8%. Your client's degree of risk aversion is A = 2.9, assuming a utility function U = E(r) - Ao. a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Investment proportion y % b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Expected return % Standard deviation % You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 29%. The T-bill rate is 8%. Your client's degree of risk aversion is A = 2.9, assuming a utility function U = E(r) - Ao. a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Investment proportion y % b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Expected return % Standard deviation %

Answer rating: 100% (QA)

Answer RiskOptimal Portfolio Allocation for Your Client We can use the following steps to find the optimal investment proportion y in your risky portf... View the full answer