Question
In: Finance
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 5.6%. The probability distributions of the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 17% | 46% |
| Bond fund (B) | 8% | 40% |
The correlation between the fund returns is 0.0600.
Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal points).
P.S. If you do the problems in Excel, can you show what formulas you used? I'm not sure how to do the covariance that's required for the question.
Solutions
jeff jeffy answered 4 months agoRelated Solutions
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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 stock fund has an expected return of 15% and a standard deviation of 23%. The bond fund has an expected return of 9% and a standard deviation of 23%. The correlation between the fund returns is.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 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...
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...
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)
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31%
The correlation between the fund returns is 0.1065.
What is the Sharpe ratio of the best feasible...
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%. The probability distribution of the risky
funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
17
%
30
%
Bond fund (B)
11
22
The correlation between the fund returns is 0.10.
a-1. What are the investment proportions...
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 5.8%. 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 0.0762.
What is the Sharpe ratio of the best feasible...
A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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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 4.1%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
11
%
33
%
Bond fund (B)
8
%
25
%
The correlation between the fund returns is .1560.
Suppose now that your portfolio...
A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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corporate bond fund, and the third is a T-bill money market fund
that yields a sure rate of 5.9%. The probability distributions of
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Expected Return
Standard Deviation
Stock fund (S)
20%
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Bond fund (B)
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A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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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 5.0%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
11%
40%
Bond fund (B)
6%
20%
The correlation between the fund returns is 0.0500.
What is the Sharpe ratio of the best feasible...
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