Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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[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: Expected Return Standard
Deviation Stock fund (S) 15 % 34% Bond fund (B) 9% 25% The correlation
between the fund returns is 0.13. Required: 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 and round your final answers to 2 decimal places.) Portfolio
invested in the stock % Portfolio invested in the bond % Expected return%
Standard deviation %
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Transcribed Image Text:[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: Expected Return Standard Deviation Stock fund (S) 15 % 34% Bond fund (B) 9% 25% The correlation between the fund returns is 0.13. Required: 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 and round your final answers to 2 decimal places.) Portfolio invested in the stock % Portfolio invested in the bond % Expected return% Standard deviation %
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