Question 4 (8 marks) You manage a risky portfolio with an expected rate of return of...

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Question 4 (8 marks) You manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 35%. The T-bill rate is 4%. Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund. INVE5000-Portfolio Management Theory and Applications a) What are the expected return and standard deviation of the rate of return on your client's portfolio? b) What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? c) What is the reward-to-volatility (Sharpe) ratio (S) of your client's portfolio? [4 marks) (2 marks) (2 marks) Question 4 (8 marks) You manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 35%. The T-bill rate is 4%. Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund. INVE5000-Portfolio Management Theory and Applications a) What are the expected return and standard deviation of the rate of return on your client's portfolio? b) What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? c) What is the reward-to-volatility (Sharpe) ratio (S) of your client's portfolio? [4 marks) (2 marks) (2 marks)