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 5.5%. 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 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 5.5%. 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)
15%
32%
Bond fund (B)
9%
23%
The correlation between the fund returns is .15.
What is the expected return and 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 vields a sure rate of 5.5%, The correlation between the stock
and bond fund returns is 0.25.The probability distributions of the
risky funds are:
Expected
Return Standard Deviation
Stock Fund
(S)
15%
32%
Bond Fund (B)
9%
23%
What is the standard deviation 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 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 0.15.
1. What would be the investment 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 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 0.15. Suppose now that your 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 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 0.15.
What is the Sharpe ratio for the minimum variance...

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 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 Sharpe ratio of the best...

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...

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