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 an essentially risk-free money market fund. what is the expected return and standard deviation of the rate of return on his portfolio? (do not round intermediate calculations. round "standard deviation" to 1 decimal place.)

13.85% and 18.9%

Explanation:

As in this exercise we have a free risk asset we will assume that the t-bill has a standard deviation of 0%, so let´s firts calculate the expected return:

where E(r) is the expected return, is the return of the i asset and is the investment in i asset, so applying to this particular case we have:

the calculation of standar deviation follows the same logic of the previous formula:

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