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 governmentand corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probabilitydistributions of the risky funds are:Stock fund (5)Bond fund (B)The correlation between the fund returns is 0.15.ExpectedReturn15898Required:Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal riskyportfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.)Answer is complete but not entirely correct.15.55%84.45 X %9.93 X %25.52 %Portfolio invested in the stockPortfolio invested in the bondExpected returnStandard deviationStandardDeviation32%23%4

To find the proportions of each asset in the optimal risky portfolio and the expected return and…

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 Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.15. 158 98 Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) Answer is complete but not entirely correct. 15.55 X % 84.45 X % 9.93 % 25.52 % Standard Deviation 32% 23%

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 Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.15. 158 98 Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) Answer is complete but not entirely correct. 15.55 X % 84.45 X % 9.93 % 25.52 % Standard Deviation 32% 23%

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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