Question: undefined 1. (20 points) Assume you have a risky portfolio with an 17% expected return and a 36% standard deviation. The risk free rate is

undefined 1. (20 points) Assume you have a risky portfolio with an undefined

1. (20 points) Assume you have a risky portfolio with an 17% expected return and a 36% standard deviation. The risk free rate is 4.5%. Now you decide to invest in your risky portfolio a proportion (y) of his total investment. And the remaining is invested in the risk-free asset. You hope to have an overall portfolio return of 16%. (a) What is the proportion y that you should invest? (b) What is the Sharpe ratio of your risky portfolio

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