Question: Suppose the same client as in the previous problem prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the

Suppose the same client as in the previous problem prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio's standard deviation will not exceed 20%.

a. What is the investment proportion, y ?

b. What is the expected rate of return on the overall portfolio?

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