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 rate of 8%. The probability distribution
of the risky funds is as follows:
FUND
EXPECTED
RETURN
STANDARD DEVIATION**

**Stock
(S)
20%
30%**

**Bond
(B)
12%
15%**

**NOTE: The correlation between the fund returns is
.10.**

What are the investment proportions in the minimum-variance portfolio of the two risky funds, and what is the expected value and standard deviation of its rate of return?

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 rate of 8%. The probability distribution of the risky
funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
18
%
35
%
Bond fund (B)
15
20
The correlation between the fund returns is 0.12.
What are the investment proportions in...

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:
Expected Return Standard
Deviation
Stock fund (S) 19% 32%
Bond fund (B) 12% 15% The correlation between the fund
returns is 0.11.
i. What are the investment proportions in...

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 5.3%. 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 rate of 3.00 %. The probability distributions of the
risky funds are:
Expected Return: Standard Deviation
Stock fund (S) 12.00% 41.00%
Bond fund (B) 5.00% 30.00%
The correlation between the fund returns is 0.0667. 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 5.5%. 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 5.3%. 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 4.6%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
16%
36%
Bond fund (B)
7%
30%
The correlation between the fund returns is 0.0800.
What is the expected return and standard deviation for...

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