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: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.25. oblem 6-9 (Algo) Expected Return Standard Deviation. 17% 11% rtfolio invested in the stock tfolio invested in the bond pected return andard deviation quired: ve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky tfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) 38% 29% % % % %
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: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.25. oblem 6-9 (Algo) Expected Return Standard Deviation. 17% 11% rtfolio invested in the stock tfolio invested in the bond pected return andard deviation quired: ve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky tfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) 38% 29% % % % %
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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![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 5.5%. The probability
distributions of the risky funds are:
Stock fund (S)
Bond fund (B)
The correlation between the fund returns is 0.25.
Problem 6-9 (Algo)
Expected Return
17%
11%
Portfolio invested in the stock
Portfolio invested in the bond
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.)
Expected return
Standard deviation
Standard Deviation
38%
29%
%
%
%
%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F02abe3f7-743e-40de-a685-73af034628f0%2F6cdf3fe9-d44a-4d11-a8c6-d621620e1b6f%2F43ae5um_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 5.5%. The probability
distributions of the risky funds are:
Stock fund (S)
Bond fund (B)
The correlation between the fund returns is 0.25.
Problem 6-9 (Algo)
Expected Return
17%
11%
Portfolio invested in the stock
Portfolio invested in the bond
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.)
Expected return
Standard deviation
Standard Deviation
38%
29%
%
%
%
%
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