Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. a. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. 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 - 27% Stock B - 33% Stock C- 40% What are the investment proportions of your client's overall portfolio, including the position in T-bills?
Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. a. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. 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 - 27% Stock B - 33% Stock C- 40% What are the investment proportions of your client's overall portfolio, including the position in T-bills?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Answer the question in letter C only
Transcribed Image Text:Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The
T-bill rate is 7%.
a. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. 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 - 27%
Stock B - 33%
Stock C- 40%
What are the investment proportions of your client's overall portfolio, including the position in T-bills?
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