he correlation between the returns on the Russell Fund and the S&P Fund is 0.7. The rate on T-bills is 6%. Question: Which of the following portfolios would you prefer to hold in combination with T- bills and why? a) WindRussell Fund b) Windsor Fund c) S&P Fund d) A portfolio of 60% Russell Fund and 40% S&P Fund. Expected Return Standard Deviation Russell Fund 16% 12% Windsor Fund 14% 10% S&P Fund 12% 8%
he correlation between the returns on the Russell Fund and the S&P Fund is 0.7. The rate on T-bills is 6%. Question: Which of the following portfolios would you prefer to hold in combination with T- bills and why? a) WindRussell Fund b) Windsor Fund c) S&P Fund d) A portfolio of 60% Russell Fund and 40% S&P Fund. Expected Return Standard Deviation Russell Fund 16% 12% Windsor Fund 14% 10% S&P Fund 12% 8%
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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he correlation between the returns on the Russell Fund and the S&P Fund is 0.7.
The rate on T-bills is 6%.
Question: Which of the following portfolios would you prefer to hold in combination with T-
bills and why?
a) WindRussell Fund
b) Windsor Fund
c) S&P Fund
d) A portfolio of 60% Russell Fund and 40% S&P Fund.
Expected Return Standard Deviation
Russell Fund 16% 12%
Windsor Fund 14% 10%
S&P Fund 12% 8%
The rate on T-bills is 6%.
Question: Which of the following portfolios would you prefer to hold in combination with T-
bills and why?
a) WindRussell Fund
b) Windsor Fund
c) S&P Fund
d) A portfolio of 60% Russell Fund and 40% S&P Fund.
Expected Return Standard Deviation
Russell Fund 16% 12%
Windsor Fund 14% 10%
S&P Fund 12% 8%
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