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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 4.5%. The probability distributions of the risky funds are: Expected Return. 158 98 Stock fund (8) Bond fund (8) The correlation between the fund returns is 0.15. Standard Deviation 40% 31%

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 4.5%. The probability distributions of the risky funds are: Expected Return. 158 98 Stock fund (8) Bond fund (8) The correlation between the fund returns is 0.15. Standard Deviation 40% 31%

Essentials Of Investments
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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Need a, b1 and b2

b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Stocks Bonds Proportion Invested % %
Transcribed Image Text:b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Stocks Bonds Proportion Invested % %
Required information Section Break (8-11) [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 4.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (8) The correlation between the fund returns is 0.15. Expected Return Standard Deviation 158 40% 98 31t Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation %
Transcribed Image Text:Required information Section Break (8-11) [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 4.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (8) The correlation between the fund returns is 0.15. Expected Return Standard Deviation 158 40% 98 31t Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation %
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