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Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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A 11.
Subject:- finance
![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
Standard Deviation
Stock Fund (S)
Bond Fund (B)
22%
12%
35%
20%
The correlation between the fund returns is 0.35.
What is the expected return of the global minimum variance portfolio? (Do not round intermediate calculations. Input your final answer as a percent
rounded to two decimal places i.e. 7.89. Do not include a percent sign in your answer)](https://content.bartleby.com/qna-images/question/d4704128-405f-4318-b903-2637470bce9a/6dc059ac-ff7a-4294-aade-839649c1894f/2grumc_thumbnail.png)
Transcribed Image Text: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
Standard Deviation
Stock Fund (S)
Bond Fund (B)
22%
12%
35%
20%
The correlation between the fund returns is 0.35.
What is the expected return of the global minimum variance portfolio? (Do not round intermediate calculations. Input your final answer as a percent
rounded to two decimal places i.e. 7.89. Do not include a percent sign in your answer)
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