Required information Section Break (8-11) [The following information applies to the questions displayed below.] 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: The correlation between the fund returns is 0.20. Problem 6-9 (Algo) 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.) Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe Ratio: Required information Section Break (8-11) [The following information applies to the questions displayed below.] 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. 38% 29% Problem 6-9 (Algo) 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.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation % % % %

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Required information Section Break (8-11) [The following information applies to the questions displayed below.] 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: The correlation between the fund returns is 0.20. Problem 6-9 (Algo)
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.)
Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer
to 4 decimal places.) Sharpe Ratio:
Required information
Section Break (8-11)
[The following information applies to the questions displayed below.]
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.
38%
29%
Problem 6-9 (Algo)
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.)
Portfolio invested in the stock
Portfolio invested in the bond
Expected return
Standard deviation
%
%
%
%
Transcribed Image Text:Required information Section Break (8-11) [The following information applies to the questions displayed below.] 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: The correlation between the fund returns is 0.20. Problem 6-9 (Algo) 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.) Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe Ratio: Required information Section Break (8-11) [The following information applies to the questions displayed below.] 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. 38% 29% Problem 6-9 (Algo) 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.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation % % % %
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