Consider the performance of a stock fund, a bond fund, and Treasury bills. Measurement Mean Standard Deviation Correlation (Stock and Bond Fund) Optimal Risky Portfolio Stock Fund Bond Fund Stock Fund 13.00% 20.00% -0.05 Excess Returns 11.50% 1.50% Bond Fund 3.00% 6.50% Optimal Weight 42.35% 57.65% Treasury Bills 1.50% 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
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Consider the performance of a stock fund, a bond fund, and Treasury bills.
Measurement
Mean
Standard Deviation
Correlation (Stock and Bond Fund)
Optimal Risky Portfolio
Stock Fund
Bond Fund
Stock Fund
13.00%
20.00%
-0.05
Excess Returns
11.50%
1.50%
Bond Fund
3.00%
6.50%
Optimal Weight
42.35%
57.65%
Treasury Bills
1.50%
0.00%
Required:
Using the information above, calculate the mean, variance, standard deviation, and Sharpe ratio for the optimal portfolio.
(Use cells A5 to D11 from the given information to complete this question.)
Transcribed Image Text:Consider the performance of a stock fund, a bond fund, and Treasury bills. Measurement Mean Standard Deviation Correlation (Stock and Bond Fund) Optimal Risky Portfolio Stock Fund Bond Fund Stock Fund 13.00% 20.00% -0.05 Excess Returns 11.50% 1.50% Bond Fund 3.00% 6.50% Optimal Weight 42.35% 57.65% Treasury Bills 1.50% 0.00% Required: Using the information above, calculate the mean, variance, standard deviation, and Sharpe ratio for the optimal portfolio. (Use cells A5 to D11 from the given information to complete this question.)
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