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 4.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 15% 40% Bond fund (B) 9% 31% The correlation between the fund returns is 0.15. Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio?

Required information [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: Stock fund (S) Bond fund (8) Expected Return 17% 11% Standard Deviation 38% 29% The correlation between the fund returns is 0.25. 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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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 16% 7% Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.0385. Expected return Standard deviation Standard Deviation 45% 39% What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % %