Question

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2.

Assume that you manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 34%. The T-bill rate is 8%.

Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. What is the expected value and standard deviation of the rate of return on his portfolio?

** Expected return . %? Standard deviation . %?**

- Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 30%. The T-bill rate is 6%. Your client chooses to invest 65% of a portfolio in your fund and 35% in a T-bill money market fund.

What is the reward-to-volatility ratio (*S*) of your risky portfolio and your client's portfolio?

** Your reward-to-volatility ratio? Client's reward-to-volatility ratio?**

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