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Question: Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 29%. The T-bill rate is 8%. Your client's degree of risk aversion is A = 2.9, assuming a utility function U = E(r) - ½As².

a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "%" sign in your response.)

b. What is the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.)

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