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 ______%??