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 4.4%. The probability distributions of the risky funds are: |
| Expected Return | Standard Deviation | |
| Stock fund (S) | 14% | 34% |
| Bond fund (B) | 5% | 28% |
| The correlation between the fund returns is .14. |
|
What is the expected return and standard deviation of the optimal risky portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) |
| Expected return | % |
| Standard deviation | % |
rev: 02_05_2014_QC_44397
Solutions
jeff jeffy answered 1 week agoRelated Solutions
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corporate bond fund, and the third is a T-bill money market fund
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Expected Return
Standard Deviation
Stock fund (S)
16%
45%
Bond fund (B)
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39%
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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 5.5%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
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45%
Bond fund (B)
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first is a stock fund, the second is a long-term government and
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that yields a sure rate of 4.7%. The probability distributions of
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Expected Return
Standard Deviation
Stock fund (S)
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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...
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
%
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%
Bond fund (B)
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Expected Return Standard Deviation
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Bond fund (B) 9% 42%
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Expected Return
Standard Deviation
Stock fund (S)
11
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33
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Bond fund (B)
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Expected Return
Standard Deviation
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Expected Return
Standard Deviation
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40%
Bond fund (B)
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20%
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