1. Blackrock Fund has expected return of 10.5%, standard deviation of 17.5%, and beta of 0.8. Nippon Fund has expected return of 12.5%, standard deviation of 21% and beta of 1.1. The two mutual funds have correlation coefficient of 0.7. Find the expected return and standard deviation of the market. What is the riskless rate of return?
1. Blackrock Fund has expected return of 10.5%, standard deviation of 17.5%, and beta of 0.8. Nippon Fund has expected return of 12.5%, standard deviation of 21% and beta of 1.1. The two mutual funds have correlation coefficient of 0.7. Find the expected return and standard deviation of the market. What is the riskless rate of return?
Essentials of Business Analytics (MindTap Course List)
2nd Edition
ISBN:9781305627734
Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Chapter5: Probability: An Introduction To Modeling Uncertainty
Section: Chapter Questions
Problem 30P: Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of...
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