Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolios standard deviation will not exceed 18 a What is the investment proportion, y b What is the expected rate of retu...

a C y 28 If your client prefers ...

Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected

Question:

Suppose that your client prefers to invest in your fund a proportion y that maximizes the on the complete subject to the constraint that the complete portfolio’s standard deviation will not exceed 18%.
a. What is the investment proportion, y?
b. What is the expected rate of return on the complete manage a risky with expected rate of return of 18% and standard deviation of 28%. The T-bill rate is 8%.

Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...