In: Finance
As a pension fund manager at Heitman Capital Management , you are 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 5.0%. The probability distributions of the risky funds are:
Expected Return |
Standard Deviation |
|
Stock fund (S) |
20% |
35% |
Bond fund (B) |
10% |
20% |
The correlation between the fund returns is -.245.
What is the minimum-variance portfolio proportion in stock fund?(sample answer: 24.50%)
What is the mean of the minimum variance portfolio? (sample
answer: 15.40%
What is the standard deviation of the minimum variance portfolio?
(sample answer: 15.40%)
What is the Sharpe ratio of the minimum variance portfolio? (sample
answer: 0.55)