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Expected return on the complete portfolio subject

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You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%.

Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolio's standard deviation will not exceed 18%.

What is the expected rate of return on the complete portfolio (in percentage points, round to the first decimal place)?

Reference no: EM133067356

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