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) Bond fund (8) The correlation between the fund returns is 0.20. Expected Return 16% 10% 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. wwwwww Standard Deviation 32% 23% 0.00% 0.00% 0.00% 0.00%
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) Bond fund (8) The correlation between the fund returns is 0.20. Expected Return 16% 10% 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. wwwwww Standard Deviation 32% 23% 0.00% 0.00% 0.00% 0.00%
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
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)
The correlation between the fund returns is 0.20.
Expected Return
16%
10%
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
32%
23%
0.00%
0.00%
0.00%
0.00%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F245f0205-cf64-4e7b-b7c8-eb5e5da979b8%2Fa43c2fe4-8b84-4f97-9dfa-b4bb71549820%2Fo8yuas_processed.jpeg&w=3840&q=75)
Transcribed Image Text: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)
The correlation between the fund returns is 0.20.
Expected Return
16%
10%
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
32%
23%
0.00%
0.00%
0.00%
0.00%
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