Use These Data For The Following Questions You Manage A Risky Portfolio With Expecte 1206037

Use these data for the following questions:

You manage a risky portfolio with expected rate of return of 18%and standard deviation of 28%. The T-bill rate (lending rate) is 8%and borrowing rate is 10%. Your clientA????1s degree of risk aversion isA = 3.5.

a.Draw the CAL (capital allocation line with different borrowingand lending rates) on an expected return-standard deviationdiagram.

b.Calculate the Sharpe-Ratio (reward-to-variability ratio) ofthe risky portfolio assuming you can borrow and lend at the samerate, 8% .

c.What proportion, y, of the total investment should be investedin your fund?

d.   What is theexpected return and standarddeviation of the rate of return on your clientA????1s optimizedportfolio?   

Prof. Angela

4.6/5

Calculate Price


Price (USD)
$
Open chat