Suppose you manage a risky portfolio with an expected return of 17% and a standard deviation of 27%. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. The T-bill rate is 7%.
1) What is the expected return and standard deviation of your client's portfolio?
2) What is the Sharpe ratio (S) of your risky portfolio and your client's overall peortfaolien?