Question
In: Finance
A pension fund manager is considering three assets. The first is a stock fund, the second...
A pension fund manager is considering three assets. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill yielding 0.07. The probability distribution of the risky funds is as follows:
| Expected ret. | std. dev. | |
| Stock fund | 0.18 | 0.29 |
| Bond fund | 0.11 | 0.11 |
The correlation between the fund returns is 0.5. What is the weight of stock fund in the optimal risky portfolio?
Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.
Solutions
jeff jeffy answered 2 years agoRelated Solutions
A pension fund manager is considering three assets. The first is a stock fund, the second...
A pension fund manager is considering three assets. The first is
a stock fund, the second is a long-term government and corporate
bond fund, and the third is a T-bill yielding 0.06. The probability
distribution of the risky funds is as follows:
Expected ret.
std. dev.
Stock fund
0.18
0.3
Bond fund
0.12
0.14
The correlation between the fund returns is 0.2.
What is the expected return of the
optimal risky portfolio?
Round your answer to 4 decimal places. For...
A pension fund manager is considering three assets. The first is a stock fund, the second...
A pension fund manager is considering three assets. The first is
a stock fund, the second is a long-term government and corporate
bond fund, and the third is a T-bill yielding 0.05. The probability
distribution of the risky funds is as follows:
Expected ret.
std. dev.
Stock fund
0.20
0.29
Bond fund
0.11
0.15
The correlation between the fund returns is 0.4. What is the
expected return of the optimal risky
portfolio?
A pension fund manager is considering three assets. The first is a stock fund, the second...
A pension fund manager is considering three assets. The first is
a stock fund, the second is a long-term government and corporate
bond fund, and the third is a T-bill yielding 8%. The probability
distribution of the risky funds is as follows:
E[r]
std. dev.
Stock fund
20%
30%
Bond fund
12%
15%
The correlation between the fund returns is 0.10. What is the
investment proportion in the minimum variance
portfolio of stock fund?
With the same set of assets...
A pension fund manager is considering three assets. The first is a stock fund, the second...
A pension fund manager is considering three assets. The first is
a stock fund, the second is a long-term government and corporate
bond fund, and the third is a T-bill yielding 8%. The probability
distribution of the risky funds is as follows:
E[r]
std. dev.
Stock fund
20%
30%
Bond fund
12%
15%
The correlation between the fund returns is 0.10.
A) What is the investment proportion in the minimum
variance portfolio of stock fund?
B) Solve numerically for the...
A pension fund manager is considering three assets. The first is a stock fund, the second...
A pension fund manager is considering three assets. The first is
a stock fund, the second is a long-term government and corporate
bond fund, and the third is a T-bill yielding 8%. The probability
distribution of the risky funds is as follows:
E[r]
std. dev.
Stock fund
20%
30%
Bond fund
12%
15%
The correlation between the fund returns is 0.10. What is the
investment proportion in the minimum variance
portfolio of stock fund? With the same set of assets...
1. A pension fund manager is considering three assets. The first is a stock fund, the...
1.
A pension fund manager is considering three assets. The first is
a stock fund, the second is a long-term government and corporate
bond fund, and the third is a T-bill yielding 0.05. The probability
distribution of the risky funds is as follows:
Expected ret.
std. dev.
Stock fund
0.19
0.25
Bond fund
0.09
0.13
The correlation between the fund returns is 0.17. An investor
has a risk-aversion of 8. In her optimal complete
portfolio (including stocks, bonds, and risk-free...
pension fund manager is considering three mutual funds. The first is a stock fund, the second...
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 must...
A pension fund manager is considering three mutual funds. The first is a stock fund,...
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...
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