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
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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Question
Need a, b1 and b2
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
%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F556d7f69-fc06-4b64-8f8e-9d929a29fe26%2F08ffcdd4-0df7-44ef-b991-fb07366b3f0b%2F46pq8_processed.jpeg&w=3840&q=75)
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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