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Business, 16.10.2019 20:30 nataliamontirl4230

Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. the t-bill rate is 7%. 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%.

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