a. What is the standard deviation of your portfollo? (Do not round Intermediate calculations. Round your answ 2 decimal places.) Standard deviation % B b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermediate calculations. Round your ar 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 calculations. Round your answers to 2 decimal places.) Proportion Invested Stocks Bonds % %
a. What is the standard deviation of your portfollo? (Do not round Intermediate calculations. Round your answ 2 decimal places.) Standard deviation % B b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermediate calculations. Round your ar 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 calculations. Round your answers to 2 decimal places.) Proportion Invested Stocks Bonds % %
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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Question
Transcribed Image Text: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 portfollo? (Do not round Intermediate calculations. Round your answer
2 decimal places.)
Standard deviation
%
ما
b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermedlate 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 calculations.
Round your answers to 2 decimal places.)
Proportion Invested
Stocks
%
Bonds
%
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