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What is the reward to volatility ratio of portfolio

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Reference no: EM132622668

Consider the following information about a risky portfolio that you manage, and a risk-free asset: Expected return= 15%, standard deviation = 20%, r f =5%.

i) Your client wants to invest a proportion of her total investment budget in your risky fund. What proportion should she invest in the risky portfolio, P, and what proportion in the risk-free asset if level of risk aversion, A is 3.5?

ii) What will be the standard deviation of the rate of return on her portfolio?

iii) What is the reward to volatility ratio of your portfolio?

iv) If you were a risk neutral person then what is your utility score from the risky portfolio?

Reference no: EM132622668

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