(Answered) Suppose that you manage a fund with an expected rate of

Finance

Suppose that you manage a fund with an expected rate of return of 12.5% and a standard deviation of 18%. The T-bill rate currently is 4%. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund.

a) What is the expected return and standard deviation of your client's portfolio?

b) Suppose your risky portfolio includes the following investments in the given proportions:

Stock A 40%

Stock B 25%

Stock C 35%

What are the investment proportions of your client's overall portfolio, including the position in T-bills?

c) What is the reward-to-volatility ratio (S) of your risky portfolio and your client's overall portfolio?

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