A pension fund manager is considering three mutual funds. The first is a stock fund, the second isa long-term government and corporate bond fund, and the third is a T-bill money market fund thatyields a sure rate of 5.5%. The probability distributions of the risky funds are:Stock fund (5)Expected Return16%10%Bond fund (B)The correlation between the fund returns is 0.10.Standard Deviation38%29%Problem 6-11 (Algo)Suppose now that your portfollo must yield an expected return of 13% and be efficient, that is, on the best feasibleCAL.Required:a. What is the standard deviation of your portfollo? (Do not round Intermediate calculations. Round your answer2 decimal places.)Standard deviation%ماb-1. What is the proportion Invested in the T-bill fund? (Do not round Intermedlate calculations. Round your ansto 2 decimal places.)Proportion invested in the T-bill fund%b-2. What is the proportion Invested in each of the two risky funds? (Do not round Intermediate calculations.Round your answers to 2 decimal places.)Proportion InvestedStocks%Bonds%

The standard deviation can be used to calculate how dispersed a set of numbers is. It is minimal…

a. What is the standard deviation of your portfollo? (Do not round Intermediate calculations. Round your answ 2 decimal places.) Standard deviation % B b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermediate calculations. Round your ar to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion Invested in each of the two risky funds? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) Proportion Invested Stocks Bonds % %

a. What is the standard deviation of your portfollo? (Do not round Intermediate calculations. Round your answ 2 decimal places.) Standard deviation % B b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermediate calculations. Round your ar to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion Invested in each of the two risky funds? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) Proportion Invested Stocks Bonds % %

Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)

7th Edition

ISBN:9780357033609

Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Chapter13: Investing In Mutual Funds, Etfs, And Real Estate

Section: Chapter Questions

Problem 2FPE

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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 bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Expected Return. Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.10. 19% 14 Reg A1 Standard Deviation Required: a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? 31% 23 Complete this question by entering your answers in the tabs below. Reg A2 What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.
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: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.12. Problem 6-11 (Algo) Expected Return 16% 10% Standard deviation Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) % Standard Deviation 40% 31%
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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 probability distributions of the risky funds are: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.10. Problem 6-9 (Algo) Expected Return 16% 10% Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) Standard Deviation 36% 27% % % % %
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: stock fund (5) Expected Return 16% 10% Bond fund (B) The correlation between the fund returns is 0.10. Standard Deviation 38% 29% Problem 6-11 (Algo) Suppose now that your portfollo must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round Intermediate calculations. Round your answer 2 decimal places.) Standard deviation % 1 ง b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermediate calculations. Round your ans to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion Invested in each of the two risky funds? (Do not round Intermediate…
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A pension fund manager is considering three mutual funds. The first in a stock fund The second is a long-term bond fund The third is a money market fund that provides a safe return of 5% The characterisitics of the risky funds are as follows: Use this data for problems #5 - #9 5.00% Stock Fund Bond Fund Correlation (rho) A 9224 6223 money market return 9123 Expected Return 28.00% What is the reward-to volatility ratio of the Optimal Capital Asset Line? This is the Sharpe Ratio. 20.00% -0.2000 Stdev 39.00% 26.00% I
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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 probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 16% Bond fund (B) 10% The correlation between the fund returns is 0.20. 36% 27% Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate…