Business, 14.06.2021 21:20 ava5015

Assume that you manage a risky portfolio with an expected rate of return of 15% and a standard deviation of 31%. The T-bill rate is 5%. Stock A 26%
Stock B 33%
Stock C 41%

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 20%.

a. What is the investment proportion, y?
b. What is the expected rate of return on the overall portfolio?

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