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 sa 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 24% 12 Standard Deviation 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. Required: a. What is the standard deviation of your portfolio? . 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.

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 sa 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 24% 12 Standard Deviation 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. Required: a. What is the standard deviation of your portfolio? . 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.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter2: Risk And Return: Part I

Section: Chapter Questions

Problem 10P

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