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 ReturnStandard DeviationStock fund (S)17%32%Bond fund (B)11%23% The correlation between the fund returns is 0.25. 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.) PORTFOLIO INVESTED IN THE STOCKS PORTFOLIO INVESTED IN THE BONDS EXPECTED RETURN STANDARD DEVIATION
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
Expected ReturnStandard DeviationStock fund (S)17%32%Bond fund (B)11%23%
The correlation between the fund returns is 0.25.
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.)
PORTFOLIO INVESTED IN THE STOCKS
PORTFOLIO INVESTED IN THE BONDS
EXPECTED RETURN
STANDARD DEVIATION
PLEASE ANSWER ASAP.
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