Question

A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows:

Expected Return | Standard Deviation | ||||||

Stock fund (S) |
16 | % | 35 | % | |||

Bond fund (B) |
12 | 15 | |||||

The correlation between the fund returns is 0.13. Solve numerically for the proportions of each asset and for the
expected return and standard deviation of the optimal risky
portfolio. |

Portfolio invested in the stock | % |

Portfolio invested in the bond | % |

Expected return | % |

Standard deviation | % |

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 4.5%. The probability distribution of the
risky funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
15%
35%
Bond fund (B)
6
29
The correlation between the fund returns is 0.15.
Solve numerically for the proportions of each asset...

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 4.5%. The probability distribution of the
risky funds is as follows:
Expected
Return
Standard
Deviation
Stock fund (S)
15%
35%
Bond fund (B)
6
29
The correlation between the fund returns is 0.15.
Solve numerically for the proportions of each asset...

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 5.5%. The probability distribution of the
risky funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
15%
32%
Bond fund (B)
9
23
The correlation between the fund returns is 0.15.
Solve numerically for the proportions of each...

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)
17
%
35
%
Bond fund (B)
14
18
The correlation
between the fund returns is 0.09.
Solve numerically for
the proportions...

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 Standard Deviation
Stock fund (S) 17 % 38 %
Bond fund (B) 13 18
The correlation between the fund returns is 0.12.
Solve numerically for the proportions of...

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 7%. The probability distribution of the risky
funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
19
%
31
%
Bond fund (B)
14
23
The correlation between the fund returns is 0.10.
Solve numerically for the proportions...

A pension fund manager is considering three mutual funds. The
first is a stock fund, the second is a long-term bond fund, and the
third is a money market fund that provides a safe return of 8%. The
characteristics of the risky funds are as follows:
Expected Return
Standard Deviation
Stock fund (S)
16
%
35
%
Bond fund (B)
12
15
The correlation between the fund returns is 0.13.
a-1. What are the investment proportions in the
minimum-variance portfolio...

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 6%. The probability distribution of the risky
funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
21
%
28
%
Bond fund (B)
12
18
The correlation between the fund returns is 0.09.
Solve numerically for the proportions...

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)
21
%
36
%
Bond fund (B)
13
%
22
%
The correlation between the fund returns is 0.13.
a-1. What are the...

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 4.8%. The probability distributions of
the risky funds are:
expected return standard deviation
Stock Fund ( S )---------18%-------------38%
Bond Fund ( B )----------9----------------32
the correlation between the fund returns is .13
Standard deviation of optimal risky portfolio is 30.92%....

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