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%
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
Section: Chapter Questions
Problem 1PS
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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.)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fe98384a8-d132-4cba-94c8-8f349315cd32%2F3f071e91-fc26-4fc8-b32e-feb5920639c9%2Fu67hyxo_processed.jpeg&w=3840&q=75)
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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