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 6%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (8) Bond fund (B) 21 36 13 22 The correlation between the fund returns is 0.13. You require that your portfollo yield an expected return of 11%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolo? (Round your answer to 2 decimal places.) Answer is complete but not entirely correct. Standard 19.79 8 % deviation

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 6%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (8) Bond fund (B) 21 36 13 22 The correlation between the fund returns is 0.13. You require that your portfollo yield an expected return of 11%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolo? (Round your answer to 2 decimal places.) Answer is complete but not entirely correct. Standard 19.79 8 % deviation

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 money market fund that yields a rate of 6%. The probability distribution of the risky funds is as follows: E(r) st. dev. stock fund .24 .33 bond fund .14 .22 The correlation between the fund returns is 0.14. You require that your portfolio yield an expected return of 16%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.)
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