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 8%. The probability distribution of the risky funds is as follows: Expected return Standard Deviation Stock fund 20% 30% Bond Fund 12 15 The correlation between the fund returns is 0.10. Tabulate the investment opportunity set of the two risky funds. (Round your answers to 2 decimal places.) Proportion in Stock fund Proportion in bond fund Expexted return Standard deviation 0% 100% 20% 80% 40% 60% 60% 40% 80% 20% 100% 0%
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 8%. The probability distribution of the risky funds is as follows: Expected return Standard Deviation Stock fund 20% 30% Bond Fund 12 15 The correlation between the fund returns is 0.10. Tabulate the investment opportunity set of the two risky funds. (Round your answers to 2 decimal places.) Proportion in Stock fund Proportion in bond fund Expexted return Standard deviation 0% 100% 20% 80% 40% 60% 60% 40% 80% 20% 100% 0%
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 government and corporate bond fund, and the third is a T-bill
Expected return Standard Deviation
Stock fund 20% 30%
Bond Fund 12 15
The correlation between the fund returns is 0.10.
Tabulate the investment opportunity set of the two risky funds. (Round your answers to 2 decimal places.)
| Proportion in Stock fund | Proportion in bond fund | Expexted return | Standard deviation |
| 0% | 100% | ||
| 20% | 80% | ||
| 40% | 60% | ||
| 60% | 40% | ||
| 80% | 20% | ||
| 100% | 0% |
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