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 (S)Bond fund (B)The correlation between the fund returns is 0.12.Problem 6-11 (Algo)Expected Return16%10%Standard deviationSuppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL.Required:a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimalplaces.)%Standard Deviation40%31%

Here, Expected Return E(R )Standard Deviation Stock Fund (S)16%40%Bond Fund (B)10%31%Risk Free…

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 0.12. Expected Return 16% 10% Standard deviation Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) % Standard Deviation 40% 31%

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 0.12. Expected Return 16% 10% Standard deviation Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) % Standard Deviation 40% 31%

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 [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) Expected Return 17% 11% The correlation between the fund returns is 0.25. 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.) Standard Deviation 36% 27% % % % %
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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 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 (5) Expected Return 16% 10% Bond fund (B) The correlation between the fund returns is 0.10. Standard Deviation 38% 29% Problem 6-11 (Algo) Suppose now that your portfollo must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round Intermediate calculations. Round your answer 2 decimal places.) Standard deviation % 1 ง b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermediate calculations. Round your ans to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion Invested in each of the two risky funds? (Do not round Intermediate…
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 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 (8) Expected Return 17% 11% Standard Deviation 38% 29% 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 stock Portfolio invested in the bond Expected return Standard deviation % % % %
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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 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 16% 7% Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.0385. Expected return Standard deviation Standard Deviation 45% 39% What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % %
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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 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 Standard Deviation Stock fund (S) 16 % 32% Bond fund (B) 10 % 23% The correlation between the fund returns is 0.10. What is the Sharpe ratio of the best feasible CAL? Please tell me the Sharpe ratio. I know its annoying but i tried it 15 different times and none of my answers are coming out right. I asked 2 people on here and both were wrong apparently.
am. 02.
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 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 15% 9% stock fund (S) Bond fund (B) The correlation between the fund returns is 0.15. 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.) % % Standard Deviation 38% 29% 12.42% 21.37%
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 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 (8) Expected Return 16% 10% The correlation between the fund returns is 0.10. Standard Deviation 32% 23% Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio

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