A pension fund manager is considering three mutual funds. corporate bond fund, and the third is a T-bill money market fund that yields a rate of 5.9%. The probability distribution of funds is as follows: Stock fund (5) Bond fund (8) Standard Deviation 49% 41 The correlation between the fund returns is 0.19 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. Omit the "%" sign in your response.) Portfolio invested in the stock Portfolio invested in the bond Expected return

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
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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 rate of 5.9%. The probability distribution of the risky
funds is as follows:
Stock fund (5)
Bond fund (8)
Expected Return
20%
The correlation between the fund returns is 0.19
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. Omit the "%" sign in your
response.)
Portfollo invested in the stock
Portfolio invested in the bond
Expected retur
Standard deviation
%
Standard Deviation
49%
41
%
Transcribed Image Text: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 5.9%. The probability distribution of the risky funds is as follows: Stock fund (5) Bond fund (8) Expected Return 20% The correlation between the fund returns is 0.19 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. Omit the "%" sign in your response.) Portfollo invested in the stock Portfolio invested in the bond Expected retur Standard deviation % Standard Deviation 49% 41 %
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