A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.0%. The probability distributions of therisky funds are:Stock fund (S)Bond fund (B)Expected Return11%6%ExpectedStandard deviationThe correlation between the fund returns is 0.0500.What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not roundintermediate calculations. Round your answers to 2 decimal places.)Standard Deviation40%20%%%

The minimum variance portfolio is the portfolio consisting of risky assets where the investor…

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 sure rate of 5.0%. The probability distributions of the risky funds are: Expected Return 11% 6% Expected return Standard deviation Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.0500. What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Standard Deviation % 40% 20%

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 sure rate of 5.0%. The probability distributions of the risky funds are: Expected Return 11% 6% Expected return Standard deviation Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.0500. What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Standard Deviation % 40% 20%

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

See similar textbooks

Similar questions

Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of 14.4% and standard deviation of 4.4%. a. What is the probability that the large-cap stock fund has a return of at least 20%? b. What is the probability that the large-cap stock fund has a return of 10% or less?
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 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 0.25. Expected Return 17% 11% Expected return Standard deviation Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % Standard Deviation 32% 23%
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 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 0.25. Expected Return 17% 11% Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) X Answer is complete but not entirely correct. Expected return Standard deviation 14.67 X % 23.83 % Standard Deviation 38% 29%
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 sure rate of 5.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (8) The correlation between the fund returns is 0.10. Expected Return 16% 10% Expected return Standard deviation. Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) 1% % Standard Deviation 32% 23%
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 sure rate of 4.5%. The probability distributions of the risky funds are: Expected Return Stock fund (S) 15% Bond fund (B) 9% The correlation between the fund returns is 0.15. Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) S 40% 31%
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: Stock fund (S) Bond fund (B) Expected Return 21% 12 Standard Deviation 28% 18 The correlation between the fund returns is 0.09. Sharpe ratio What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.)
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: Stock fund (S) Bond fund (B) Expected Return 17% 11 Sharpe ratio Standard Deviation The correlation between the fund returns is 0.10. 30% 22 What is the Sharpe ratio of the best feasible CAL? Note: Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places. 0.4743
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: Stock fund (S) Bond fund (B) Expected Return Standard Deviation 19% 32% 15 12 The correlation between the fund returns is 0.11. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.) Sharpe ratio
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 sure rate of 4.2%. The probability distributions of the risky funds are: Expected return Standard Expected Return 12% 5% Stock fund (S) Bond fund (B) The correlation between the fund returns is .0308. What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) deviation Standard Deviation 33% 26% 11.21 28.63 %
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 19% 34% Bond Fund 10 18 The correlation between the fund returns is 0.11. 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. Enter your answers as decimals rounded to 4 places.) Protifolio invested in stock Protifolio invested in bond 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 8%. The characteristics of the risky funds are as follows: Expected Standard Stock fund (S) Return Deviation 30% 15 20% 12 Bond fund (B) The correlation between the fund returns is 0.10. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places. Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a song-serm government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5%. The probability distributions of the risky funds are: Standard Deviation Expected Return 17% 24% 14% 10% Stock Fund (S) Bond Fund (B) The correlation between the fund returns is -0.2 ) Calculate the following variables: Risk Premium of stock Fund Risk Premium of Bond Fund Variance of Stock Fund Variance of Bond Fund Covariance between Stock Fund and Bond Fund Write down the formulas you used to complete the table above a b. Tabulate the investment opportunities set of the two risky funds. Use investment proportions for the stock fund of 0% to 100% in increments of 10%. From these options identify the portfolios closest to the minimum variance and optimal portfolios (do not use formulas)? Explain how to identify them. E(R₂) W₁ 0% 10% 20% 30% 40% 50% 60% 70% 80% 90%…