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
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
Section: Chapter Questions
Problem 1PS
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