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 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 for the
expected return and standard deviation of the optimal risky
portfolio. **(Do not round intermediate calculations and
round your final answers to 2 decimal places. Omit the "%" sign in
your response.)**

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.
Solve numerically for the proportions of each asset and 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 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)
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.
a-1.
What are the investment proportions...

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 2 minutes ago

asked 2 minutes ago

asked 3 minutes ago

asked 4 minutes ago

asked 7 minutes ago

asked 7 minutes ago

asked 14 minutes ago

asked 15 minutes ago

asked 17 minutes ago

asked 21 minutes ago

asked 33 minutes ago

asked 37 minutes ago