Problem:
Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 33%. The T-bill rate is 7%. Stock A 30 % Stock B 35 % Stock C 35 % A 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 30%.
Required:
a. What is the investment proportion, y?
b. What is the expected rate of return on the overall portfolio?
Note: Please provide step by step solution.