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 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 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 stock | |

Portfolio invested in bond | |

Expected Return | |

Stander 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 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 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 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 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 3.0%. The probability distribution of risky
funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
12%
41%
Bond fund (B)
5
30
The correlation between the fund returns is 0.18.
Solve numerically for the proportions of each asset and...

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 4.1%. The probability distribution of the
risky funds is as follows: Expected Return Standard Deviation Stock
fund (S) 11% 33% Bond fund (B) 8 25 The correlation between the
fund returns is 0.16. 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 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.
a-1.
What are 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 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...

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