Required information [The following information applies to the questions displayed below] 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 (5) Bond fund (8) Expected Return 16% 10% The correlation between the fund returns is 0.10. 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.) Expected return Standard deviation 12.00% Standard Deviation 32% 2.3% %
Required information [The following information applies to the questions displayed below] 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 (5) Bond fund (8) Expected Return 16% 10% The correlation between the fund returns is 0.10. 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.) Expected return Standard deviation 12.00% Standard Deviation 32% 2.3% %
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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![Required information
[The following information applies to the questions displayed below]
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 (5)
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.)
12.00 %
%
Standard Deviation
32%
23%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F1eaf013e-3f63-45c7-a541-2c4b1699218b%2F4979b4f7-fe81-4a56-9d8d-79a6b2de808f%2F6odahlg_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Required information
[The following information applies to the questions displayed below]
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 (5)
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.)
12.00 %
%
Standard Deviation
32%
23%
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