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26 December, 20:15

You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 29%. The T-bill rate is 8%. Your client chooses to invest 65% of a portfolio in your fund and 35% in a T-bill money market fund. Suppose that your risky portfolio includes the following investments in the given proportions: Stock A 35 % Stock B 35 % Stock C 30 % What are the investment proportions of your client's overall portfolio, including the position in T-bills?

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  1. 26 December, 20:33
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    Investment proportions of client's overall portfolio

    Tbills = 35 %

    Stock A 22.75 % = 35% * 65%

    Stock B 22.75 % = 35% * 65%

    Stock C 19.50 % = 35% * 65%
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