A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the th is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows: Expected Return 24% 12 Standard Deviation Stock Fund (S) 30% 19 Bond fund (B) The correlation between the fund returns is 0.13. You require that your portfolio yield an expected return of 12%, and that it be efficient, that is, on the steepest feasible CAL. Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds?
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- Problem 7-9 (Algo) A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the thi is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 30% 19 The correlation between the fund returns is 0.13. You require that your portfolio yield an expected return of 12%, and that it be efficient, that is, on the steepest feasible CAL. Standard Deviation 24% 12 Required: a. What is the standard deviation of your portfollo? b. What is the proportion invested in the money market fund and each of the two risky funds? Complete this question by entering your answers in the tabs below. Required A Required B What is the standard deviation of your portfolio? Note: Round your answer to 2 decimal places. Standard deviation 12.00 %A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Expected Return. Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.10. 19% 14 Reg A1 Standard Deviation Required: a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? 31% 23 Complete this question by entering your answers in the tabs below. Reg A2 What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.ok int rences A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 7%. The characteristics of the risky funds are as follows: Stock fund (S) - Bond fund (B) Expected Return 19% 14 The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. Standard Deviation 31% 23 Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds? Required A Complete this question by entering your answers in the tabs below. Required B Money market fund Stocks Bonds What is the proportion invested in the money market fund and each of the two risky funds? Note: Round your answers to 2 decimal places. Proportion Invested % % %
- A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 21% 13 The correlation between the fund returns is 0.13. Req A1 Required: a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Standard Deviation 36% 22 Complete this question by entering your answers in the tabs below. Req A2 What are the investment proportions in the minimum-variance portfolio of the two risky funds? Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places. Portfolio invested in the stock Portfolio invested in the bondes A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 5%. The characteristics of the risky funds are as follows: Expected Return 17% 11 Standard Deviation Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.10 You require that your portfolio yield an expected return of 14%, and that it be efficient, that is, on the steepest feasible CAL 30% 22 Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds?A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 17% Standard Deviation 38% 13 18 The correlation between the fund returns is 0.12. Required: a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Complete this question by entering your answers in the tabs below. Req A1 Req A2 What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places. Expected return Standard deviation
- A. pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 6%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 17 % 38 % Bond fund (B) 12 17 The correlation between the fund returns is 0.13. You require that your portfolio yield an expected return of 11%, and that it be efficient, that is, on the steepest feasible CAL. b. What is the proportion invested in the money market fund and each of the two risky funds?A pension fund manager is considering three mutual funds. The first in a stock fund The second is a long-term bond fund The third is a money market fund that provides a safe return of 5% The characterisitics of the risky funds are as follows: Use this data for problems #5 - #9 5.00% Stock Fund Bond Fund Correlation (rho) A 9224 6223 money market return 9123 Expected Return 28.00% What is the reward-to volatility ratio of the Optimal Capital Asset Line? This is the Sharpe Ratio. 20.00% -0.2000 Stdev 39.00% 26.00% IA pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows: Stock fund (S) Exp. Return Bond fund (B) 0.43 15% O 1.00 0.70 11% The correlation between the fund returns is 0.2. Solve numerically for the Sharpe Ratio of the optimal risky portfolio. 0.66 Std. Deviation 0.85 26% 12%
- A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return Standard Deviation 21% 13 36% 22 The correlation between the fund returns is 0.13. a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Expected return Standard deviation Rate of ReturnA 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 (B) The correlation between the fund returns is 0.10. Problem 6-9 (Algo) Expected Return 16% 10% Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation 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.) Standard Deviation 36% 27% % % % %es A pension fund manager is considering three mutual funds for investment. The first one is a stock fund, the second is a bond fund and the third is a money market fund. The money market fund yields a risk-free return of 6%. The inputs for the risky funds are given in the following table. Expected Return Standard Deviation 12% 9% 30% 22% The correlation coefficient between the stock and the bond funds is 0.29. a. What is the expected return and the variance for a portfolio that invests 57% in the stock fund and 43% in the bond fund? (Round intermediate calculations to at least 4 decimal places and final answers to 2 decimal places.) Fund Stock fund Bond fund Expected return Variance % %2 b. What is the expected return and the variance for a portfolio that invests 57% in the stock fund and 43% in the money market fund? [Hint: Note that the correlation coefficient between the portfolio and the money market fund is zero.] (Round intermediate calculations to at least 4 decimal places and…