Suppose now that your portfolio must yleld an expected return of 12% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio?
Suppose now that your portfolio must yleld an expected return of 12% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio?
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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Suppose now that your portfolio must yleld an expected return of 12% and be efficient, that is, on the best feasible CAL.
Required:
a. What is the standard deviation of your portfolio?
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:
Expected Return
Stock fund (S)
Bond fund (8)
The correlation between the fund returns is 0.15.
15%
9%
Standard
Deviation
32%
23%
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