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 8%. The characteristics of the risky funds are as follows:Stock fund (S)Bond fund (B)The correlation between the fund returns is 0.10.Proportionin Stock FundExpected StandardReturn Deviation20%12Tabulate the investment opportunity set of the two risky funds.Note: Round your answers to 2 decimal places.0.00 %20.0040.0060.0080.00100.00Proportionin Bond Fund30%15100.00 %80.0060.0040.0020.000.00ExpectedReturn%StandardDeviation%

FROM THE INFORMATION PROVIDED IN QUESTION WE HAVE TO FIND OUT INVESTMENT OPPORTUNITY SET OF TWO…

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 third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.10. Tabulate the investment opportunity set of the two risky funds. Note: Round your answers to 2 decimal places. Proportion in Stock Fund Expected Standard Return Deviation 30% 15 20% 12 0.00 % 20.00 40.00 60.00 80.00 100.00 Proportion in Bond Fund 100.00 % 80.00 60.00 40.00 20.00 0.00 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 bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.10. Tabulate the investment opportunity set of the two risky funds. Note: Round your answers to 2 decimal places. Proportion in Stock Fund Expected Standard Return Deviation 30% 15 20% 12 0.00 % 20.00 40.00 60.00 80.00 100.00 Proportion in Bond Fund 100.00 % 80.00 60.00 40.00 20.00 0.00 Expected Return % Standard Deviation %

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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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 third is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation 234 14 294 17 Stock fund (5) Bond fund (8) The correlation between the fund returns is 0.12. You require that your portfolio yield an expected return of 12%, and that it be efficient, that is, on the steepest feasible CAL a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places) Standard deviation b. What is the proportion invested in the money market fund and each of the two risky funds? (Round your answers to 2 decimal places.) Money market fund Stocks Bonds Proportion Invested *** Check my work
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 third is a money market fund that provides a safe return of 6%. The characteristics of the risky funds are as follows: Expected Return 21% 13 Standard Deviation 36% 22 Stock fund (s) Bond fund (B) The correlation between the fund returns is 0.13. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.
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