Question

A stock fund has a standard deviation of 20% and a bond fund has a standard deviation of 8%. The correlation of the two funds is 0.11

#1) What is the weight of the stock fund in the minimum variance portfolio?

#2) What is the standard deviation of this minimum variance portfolio?

Answer #1

A stock fund has a standard deviation of 20% and a bond fund has
a standard deviation of 8%. The correlation of the two funds is
0.11
#1) What is the weight of the stock fund in the
minimum variance portfolio?
#2) What is the standard deviation of this minimum variance
portfolio?
#1. weight of stock fund = 1.25%
#1. weight of stock fund = 10.82%
#1. weight of stock fund = 24.21%
#2. standard deviation of minimum-variance portfolio = 7.68%...

A stock fund has an expected return of 15% and a standard
deviation of 25% and a bond fund has an expected return of 10% and
a standard deviation of 10%. The correlation between the two funds
is 0.25. The risk free rate is 5%. What is the (a) expected return
and (b) standard deviation of the portfolio with 70% weight in the
stock portfolio and 30% weight in the bond 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 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) 19% 32%
Bond fund (B) 12% 15% The correlation between the fund
returns is 0.11.
i. 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)
18
%
35
%
Bond fund (B)
15
20
The correlation between the fund returns is 0.12.
What are the investment proportions in...

Q1) A stock fund has an expected return of 15% and a standard
deviation of 25% and a bond fund has an expected return of 10% and
a standard deviation of 10%. The correlation between the two funds
is 0.25. The risk free rate is 5%. What is the (a) expected return
and (b) standard deviation of the portfolio with 70% weight in the
stock portfolio and 30% weight in the bond portfolio?
Q2) The variance of Stock A is...

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 % 34 % Bond fund (B) 10 18 The correlation between the fund
returns is 0.11. a-1. What are the investment proportions...

A pension fund manager is considering 3 mutual funds. The 1st is
a stock fund, the 2nd is a long-term government and corporate bond
fund, and the 3rd 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 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 rate of 8%. The probability distribution
of the risky funds is as follows:
FUND
EXPECTED
RETURN
STANDARD DEVIATION
Stock
(S)
20%
30%
Bond
(B)
12%
15%
NOTE: The correlation between the fund returns is
.10.
What are the investment proportions in 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 rate of 3%. The probability distribution of the funds
is as follows:
Expected Return
Standard Deviation
Stock Fund
20%
40%
Bond Fund
10%
15%
Risk-free
3%
Correlation
20%
Find the investment proportions in the minimum variance
portfolio (MVP) of the two risk asset...

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