Find value of rate of return on client optimized portfolio

Reference no: EM131937437

Question: Assume that you manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 35%. The T-bill rate is 6%. Your client's degree of risk aversion is A = 2.6, 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.)

Investment proportion y ______%??

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.)

Expected return ______%??

Standard deviation ______%??

Reference no: EM131937437

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