Question
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 5.4%. The probability distributions of
the risky funds are:
| Expected Return | Standard Deviation | |||
| Stock fund (S) | 15 | % | 44 | % |
| Bond fund (B) | 8 | % | 38 | % |
The correlation between the fund returns is .0684.
Suppose now that your portfolio must yield an expected return of
13% and be efficient, that is, on the best feasible CAL.
a. What is the standard deviation of your
portfolio? (Do not round intermediate calculations. Round
your answer to 2 decimal places.)
Standard deviation
%
b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Proportion invested in the T-bill fund
%
b-2. What is the proportion invested in each of
the two risky funds? (Do not round intermediate
calculations. Round your answers to 2 decimal places.)
| Proportion Invested | |
| Stocks | % |
| Bonds | % |
Homework Answers
Answer #1
Not the answer you're looking for?
Similar Questions
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 4.3%. The probability distributions of
the risky funds are:
Expected Return Standard Deviation
Stock fund (S) 13 % 34 %
Bond fund (B) 6 % 27 %
The correlation between the fund returns is .0630.
Suppose now that your portfolio...
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 5.3%. 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 .0459.
Suppose now that your portfolio...
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 4.7%. The probability distributions of the risky
funds are:
Expected Return
Standard Deviation
Stock fund (S)
17
%
37
%
Bond fund (B)
8
%
31
%
The correlation between the fund returns is .1065.
Suppose now that your portfolio...
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 5.5%. 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.
a.
What...
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 rate of 5%. The probability distribution of the risky
funds is as follows:
Expected Return
Standard Deviation
Stock Fund (S)
20%
35%
Bond Fund (B)
11%
15%
The correlation between the fund returns is 0.09.
You require that your portfolio yield an expected...
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 rate of 8 percent. The probability distribution of
the risky funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
.20
.30
Bond fund (B)
.12
.15
The correlation between the fund returns is 0.10.
What is the reward-to-variability ratio of the...
A pension fund manager is considering three mutual funds. The first is a stock fund, 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 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...
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...
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 5.4%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
15%
44%
Bond fund (B)
8%
38%
The correlation between the fund returns is .0684.
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...
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 5.4%. The probability distributions of
the risky funds are: Expected Return Standard Deviation Stock fund
(S) 15% 44% Bond fund (B) 8% 38% The correlation between the fund
returns is .0684. What is the expected return and standard
deviation for...
ADVERTISEMENT
Need Online Homework Help?
Get Answers For Free
Most questions answered within 1 hours.
ADVERTISEMENT
Active Questions
asked 55 seconds ago
asked 11 minutes ago
asked 27 minutes ago
asked 27 minutes ago
asked 35 minutes ago
asked 47 minutes ago
asked 47 minutes ago
asked 48 minutes ago
asked 50 minutes ago
asked 1 hour ago
asked 1 hour ago
asked 1 hour ago