question archive A pension fund manager is considering three mutual funds
A pension fund manager is considering three mutual funds
Subject:FinancePrice: Bought3
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 rate of 9%. The probability distribution of the risky funds is as follows: Stock fund (9) Bond fund (5) Standard Expected Return Deviation 19% 32% 12 15 The correlation between the fund returns is 0.11. 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. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation 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 rate of 9%. The probability distribution of the risky funds is as follows: Expected Return 20% 11 Standard Deviation 35% 15 Stock fund (9) Bond fund (5) The correlation between the fund returns is 0.09. 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. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation 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 rate of 8%. The probability distribution of the risky funds is as follows: Stock fund (5) Bond fund (1) Expected Return 22% 14 Standard Deviation 37% 23 The correlation between the fund returns is 0.10. 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. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation
