0 Required information [The following information applies to the questions displayed below] A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5% The probability distributions of the risky funds are: Stock fund (5) Bond fund (8) The correlation between the fund returns is 0.10 Expected Return 17% 11% Expected retum Standard deviation Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % Standard Deviation 40% 31X
0 Required information [The following information applies to the questions displayed below] A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5% The probability distributions of the risky funds are: Stock fund (5) Bond fund (8) The correlation between the fund returns is 0.10 Expected Return 17% 11% Expected retum Standard deviation Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % Standard Deviation 40% 31X
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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![Required information
[The following information applies to the questions displayed below]
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government
and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability
distributions of the risky funds are:
Expected Return
17%
11%
Stock fund (5)
Bond fund (8)
The correlation between the fund returns is 0.10
Expected return
Standard deviation
Standard Deviation
40%
31X
Required:
What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round
intermediate calculations. Round your answers to 2 decimal places.)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F042cbff7-b985-4c2c-85a3-dac6aeb187ca%2F0b6b2e5b-b6bb-42de-be49-535bf0d6c266%2Fghxfw6p_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Required information
[The following information applies to the questions displayed below]
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government
and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability
distributions of the risky funds are:
Expected Return
17%
11%
Stock fund (5)
Bond fund (8)
The correlation between the fund returns is 0.10
Expected return
Standard deviation
Standard Deviation
40%
31X
Required:
What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round
intermediate calculations. Round your answers to 2 decimal places.)
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