Question

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 5.3%. The probability distributions of
the risky funds are:

Expected Return | Standard Deviation | |

Stock fund (S) |
14% | 43% |

Bond fund (B) |
7% | 37% |

The correlation between the fund returns is 0.0459.

What is the expected return and standard deviation for the
minimum-variance portfolio of the two risky funds?

Answer #1

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 5.3%. The probability distributions of
the risky funds are:
Expected Return Standard Deviation Stock fund (S) 14% 43%
Bond fund (B) 7% 37%
The correlation between the fund returns is 0.0459.
What is the expected return and standard deviation for...

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 5.9%. The probability distributions of
the risky funds are:
Expected
Return
Standard
Deviation
Stock fund (S)
20%
49%
Bond fund (B)
9%
43%
The correlation between the fund returns is .0721.
What is the expected return and standard deviation for...

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 5.8%. The probability distributions of
the risky funds are: Expected Return Standard Deviation Stock fund
(S) 19% 48% Bond fund (B) 9% 42% The correlation between the fund
returns is .0762. What is the expected return and standard
deviation for...

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 Standard Deviation
Stock fund (S) 16% 45%
Bond fund (B) 7% 39%
The correlation between the fund returns is 0.0385. What is the
expected return and standard deviation for...

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
Standard Deviation
Stock fund (S)
15
%
32
%
Bond fund (B)
9
%
23
%
The correlation between the fund returns is .15.
What is the expected return...

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 5.9%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
20%
49%
Bond fund (B)
9%
43%
The correlation between the fund returns is .0721.
What is the expected return and standard deviation for...

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
Standard
Deviation
Stock fund (S)
16%
45%
Bond fund (B)
7%
39%
The correlation between the fund returns is .0385.
What is the expected return and standard deviation for...

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 4.5%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
15%
35%
Bond fund (B)
6%
29%
The correlation between the fund returns is 0.0517.
What is the expected return and standard deviation for...

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 4.1%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
20%
32%
Bond fund (B)
15%
22%
The correlation between the fund returns is 0.43.
What is the expected return and standard deviation for...

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 4.4%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
14%
34%
Bond fund (B)
5%
28%
The correlation between the fund returns is .0214.
What is the expected return and standard deviation for...

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