Required information Section Break (8-11) [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) Expected Return 16% Standard Deviation 36% 10% 27% Bond fund (B) The correlation between the fund returns is 0.20. Problem 6-9 (Algo) 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.) Answer is complete but not entirely correct. Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation 79.61% 20.39% 14.81% 9.96 %
Required information Section Break (8-11) [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) Expected Return 16% Standard Deviation 36% 10% 27% Bond fund (B) The correlation between the fund returns is 0.20. Problem 6-9 (Algo) 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.) Answer is complete but not entirely correct. Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation 79.61% 20.39% 14.81% 9.96 %
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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![Required information
Section Break (8-11)
[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 (B)
Expected Return
16%
Standard Deviation
36%
10%
27%
The correlation between the fund returns is 0.20.
Problem 6-9 (Algo)
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.)
Answer is complete but not entirely correct.
Portfolio invested in the stock
Portfolio invested in the bond
Expected return
Standard deviation
79.61%
20.39 %
14.81
%
9.96%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F6d101070-2823-4368-b79f-fbcb5991840c%2Fd8c83178-f2e4-45f2-9026-8e7865757cb8%2F6a45i1e_processed.png&w=3840&q=75)
Transcribed Image Text:Required information
Section Break (8-11)
[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 (B)
Expected Return
16%
Standard Deviation
36%
10%
27%
The correlation between the fund returns is 0.20.
Problem 6-9 (Algo)
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.)
Answer is complete but not entirely correct.
Portfolio invested in the stock
Portfolio invested in the bond
Expected return
Standard deviation
79.61%
20.39 %
14.81
%
9.96%
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