Please remember,

- Provide proper working for each problem.

- Use proper numbering for each solution according to the questions.

- Provide formulas where its necessary. If possible mark it down.

- Handwritten is preferred.

Quest 22

1. Assume that you manage a risky portfolio with an expected return of 15% and a standard deviation of 24%.The T-bill money market risk-free rate is 5%.Jenny Li chooses to invest 60% of her portfolio in your fund and 40% in a T-bill money market fund.
   1. What is the expected return and standard deviation of Jenny's portfolio?
   2. Suppose you risky portfolio includes the following investments in the given proportions: Stock X,20%;Stock Y, 35%;and Stock Z, 45%. What are the investment proportions of each stock in Jenny's overall portfolio, including the investment in the T-bill money market fund?

2. Suppose, instead of investing the proportions stated under c.above, Jenny decides to invest a proportion (x) of her total portfolio In your risky portfolio and the balance in the T-bill money market fund so that the overall portfolio will have an expected return of 12%. What is the proportion,x?