Problem 6-26 Suppose that the borrowing rate that your client faces is 10%. Assume that the equity market index has an expected return of 14% and standard deviation of 25%. Also assume that the risk-free rate is rf = 6%. Your fund manages a risky portfolio, with the following details: E(rp) = 15%, op = 18% What is the largest percentage fee that a client who currently is lending (y 1)? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 2 decimal places.) y 1 : % Problem 6-29 You estimate that a passive portfolio, for example, one invested in a risky portfolio that mimics the S&P 500 stock index, offers an expected rate of return of 14% with a standard deviation of 27%. You manage an active portfolio with expected return 19% and standard deviation 34%. The risk-free rate is 8%. Your client's degree of risk aversion is A = 3.2. a. If he chose to invest in the passive portfolio, what proportion, y, would he select? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Answer is complete and correct. Proportion of y 25.72 % b. What is the fee (percentage of the investment in your fund, deducted at the end of the year) that you can charge to make the client indifferent between your fund and the passive strategy affected by his capital allocation decision (i.e., his choice of y)? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Fee % per year