A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the thirdis a money market fund that provides a safe return of 7%. The characteristics of the risky funds are as follows:Stock fund (S)Bond fund (B)Expected Return22%12Standard Deviation32%19The correlation between the fund returns is 0.11.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. Enter your answers as decimals rounded to 4 places.)Portfolio invested in the stockPortfolio invested in the bondExpected returnStandard deviation

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Answered: A pension fund manager is considering…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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The median home value in New Mexico and North Carolina (adjusted for inflation) are shown below. Year New Mexico North Carolina 1950 2000 34500 108100 29700 108300 If we assume that the house values are changing linearly, a) In which state have home values increased at a higher rate? North Carolina b) If these trends were to continue, what would be the median home value in New Mexico in 2010? $ 122,820 c) If we assume the linear trend existed before 1950 and continues after 2000, the two states' median house values will be (or were) equal in what year? (The answer might be absurd) The year
13
Stock A has an expected return of 10% and standar deviation of 20%. Stock B has an expected return of 15% and standard deviation of 25%. The minimum variance portfolio (MVP) consisting of Stocks A and B has an expected return of 12% and a standard deviation of 5%. The risk-free rate equals 3%. The correlation between Stocks A and B equals________ A) +1B) –1C) Less than +1 and greater than –1D) Cannot determine without more data
When data consist of percentages, ratios, compounded growth rates, or other rates of change, the geometric mean is a useful measure of central tendency. For n data values, the geometric mean, assuming all data values are positive, is as follows. To find the average growth factor over 5 years of an investment in a mutual fund with growth rates of 8.7% the first year, 11.5% the second year, 15.2% the third year, 3% the fourth year, and 7.1% the fifth year, take the geometric mean of 1.087, 1.115, 1.152, 1.03, and 1.071. Find the average growth factor of this investment. (Round your answer to four decimal places.)
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3% +0.7RM + еA RB = -2% + 1.2RM + eB OM = 20% ; R-squareд = 0.20; R-squareg = 0.12 What is the covariance between each stock and the market index? (Calculate using numbers in decimal form, not percentages. Do not round your intermediate calculations. Round your answers to 3 decimal places.) Stock A Stock B Covariance
A.) You wish to calculate the risk level of your portfolio based on its beta. The five stocks in the portfolio with their respective weights and betas are shown in the accompanying table A. Calculate the beta of your portfolio. (Format: 1.111) B.) Calculate the required rate of return for an asset that has a beta of 1.8, given a risk-free rate of 5% and a market return of 10% (Format: 1.11) *Not connected to the table*
Source: Milken Institute. 33. ACCESS To CAPITAL Refer to Exercise 32. Milken Institute also ranked the following as the ten worst-performing nations by the ability of their entrepreneurs to gain access to capital: Country Peru Mexico Bulgaria Brazil Indonesia Index 3.76 3.70 3.66 3.50 3.46 Country Colombia Turkey Argentina Venezuela Russia Index 3.46 3.43 3.20 2.88 2.19 Find the mean of the indices of the ten worst-performing nations. What is the standard deviation for these data? Source: Milken Institute.
An investor recorded the following annual returns of one of his investments. You are required to calculate and comment on; Mean return. Variance and standard deviation of the return. Geometric return. Year 2016 2017 2018 2019 2020 Return 15% 17% 19% 10% -5%
D5) Statistics and Probability A plant manager is considering investing in a new $40,000 machine. Use of the new machine is expected to generate a cash flow of about $9,000 per year for each of the next five years. However, the cash flow is uncertain, and the manager estimates that the actual cash flow will be normally distributed with a mean of $9,000 and a standard deviation of $400. The discount rate is set at 5% and assumed to remain constant over the next five years. The company evaluates capital investments using net present value. How risky is this investment? Develop and run a simulation model to answer this question using 50 trials.
1
If the Pearson correlation is measured between two variables X and Y and was - 0.56. This indicates that: Select one: a. X and Y medium correlation, and if X increases, Y will increase generally b. X and Y strong correlation, and if X increases, Y will increase generally c. X and Y strong correlation, and if X increases, Y will decrease generally d. X and Y medium correlation, and if X increases, Y will decrease generally
Correlation (or covariation) means that: Select one: A. the variables involved "go together". B. we have failed to establish an empirical relationship. C. the proposed relationship is spurious. D. there are at least two independent variables.

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