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Assume that you manage a risky portfolio with an expected rate of return of 13% and a standard deviation of 23%. The T-bill rate is 3%.

Your client now decides to change his previous investment of y. Instead, now he decides to invest in your risky portfolio a [new] proportion (y) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have an expected rate of return of 12%.

What is the new proportion of y?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92414789

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