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 5.7%. The probability distributions of the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 18% | 47% |
| Bond fund (B) | 7% | 41% |
The correlation between the fund returns is 0.0317.
What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds?
Solutions
Expert Solution
✓ Expected return of portfolio is 11.73%
✓ Standard deviation of portfolio is 31.38%
jeff jeffy answered 1 year 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
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that yields a sure rate of 5.5%. The probability distributions of
the risky funds are:
Expected Return
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Bond fund (B)
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39%
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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 sure rate of 5.5%. The probability distributions of
the risky funds are:
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 sure rate of 4.7%. The probability distributions of
the risky funds are:
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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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 5.8%. The probability distributions of
the risky funds are:
Expected Return Standard Deviation
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Bond fund (B) 9% 42%
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A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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Expected Return
Standard Deviation
Stock fund (S)
11
%
33
%
Bond fund (B)
8
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%
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Standard Deviation
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Expected Return
Standard Deviation
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40%
Bond fund (B)
6%
20%
The correlation between the fund returns is 0.0500.
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