What is the expected rate of return on the overall portfolio

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Reference no: EM131451039

Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 25%. The T-bill rate is 4%.

Suppose the same client prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio’s standard deviation will not exceed 20%. What is the investment proportion, y? What is the expected rate of return on the overall portfolio?

Reference no: EM131451039

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