Assume that you manage a risky portfolio with an expected rate of return of 20% and a
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Question:
Assume that you manage a risky portfolio with an expected rate of return of 20% and a standard deviation of 41%. The T-bill rate is 4%.
Your risky portfolio includes the following investments in the given proportions:
| | | |
| Stock A | 25 | % |
| Stock B | 34 | % |
| Stock C | 41 | % |
| | ||
Your client decides to invest in your risky portfolio a proportion ( y ) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have an expected rate of return of 16%.
What is the proportion y ? (Round your answer to 2 decimal places.)
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