Question: Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 30%. The T-bill rate is

Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 30%. The T-bill rate is 6%. Your client chooses to invest 85% of a portfolio in your fund and 15% 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:

Standard deviation:

b. Suppose your risky portfolio includes the following investments in the given proportions:

Stock A 24 %

Stock B 32

Stock C 44

What are the investment proportions of your client's overall portfolio, including the position in T-bills? (Round your answers to 1 decimal places.)

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.)

Risky portfolio:

Client's overall portfolio:

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