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) | 16% | 45% |

Bond fund (B) | 7% | 39% |

The correlation between the fund returns is .0385. |

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

Expected return | % |

Standard deviation | % |

Answer #1

Weights calculation for Minimum variance portfolio is as follows:

Portfolio Expected return is calcualted by solving the following
equation:

Portfolio standard deviation is calculated by solving the
following equation:

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 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 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)
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 5.5%. 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 yields a sure rate of 5.5%. The probability distributions of
the risky funds are:
Expected Return (Left) Standard Deviation (Right)
Stock fund (S) 16% 45%
Bond fund (B) 7% 39%
The correlation between the fund returns is 0.0385. What is the
Sharpe ratio of 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 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 5.3%. 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...

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