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Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 30% The T-bill rate is 5% A client 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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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91603718

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