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.)
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.)
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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A 11.
Subject:- finance
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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