Business, 28.08.2020 20:01 marika35

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%. A. Your client chooses to invest 70% of a portfolio in you fund and 30% in an essentially risk-free money market fund. What is the expected value and standard deviation of the rate of return on his portfolio?
B. Suppose that your risky portfolio includes the following investments in the given proportions:
Stock A 25%
Stock B 32%
Stock C 43%
What are the investment proportions of your client's overall portfolio, including the position in T-bills?
C. What is the reward-to-volatility (Sharpe) ratio (S) of you risky portfolio? Your clients?
D. Draw the CAL of your portfolio on an expected return-standard deviation diagrm. What is the slop of the CAL? Show the position of your client on your fund's CAL.

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