Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. a pension fund manager is considering three mutual

A pension fund manager is considering three mutual funds. The first is a stock fund,...

90.2K

Verified Solution

Question

Finance

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 (S) 16% 38%
Bond fund (B) 12 21

The correlation between the fund returns is 0.12.

a-1.

What are the investment proportions in the minimum-variance portfolio of the two risky funds. (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)

Portfolio invested in the stock
Portfolio invested in the bond

a-2.

What is the expected value and standard deviation of its rate of return? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)

Rate of Return
Expected return
Standard deviation

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Algebra
1.2K views

Some students in a biology class compared how many times they went to the park...

Geometry
1.2K views

om courses 18298 assignments 2701412 module item id 7542443 Examine the diagram and information to...

Medical Sciences
1.2K views

How do joint angles differ between walking and running, particularly the knee and the hip?

Biology
1.2K views

The ability to such as Brussels sprouts depends on allele which is dominant to non...

Biology
1.2K views

pases O a carbohydrates b proteins c nucleic acids d lipids

Physics
1.2K views

A To minimise the depression in a beam it is designed as T shape girder...

Calculus
1.2K views

uestion David and Amy start at the same point and begin biking in different directions...

Algebra
1.2K views

2 John and Jen went to the farmers market to buy fruit John bought 3...

Algebra
1.2K views

Express as a difference of logarithms log H

Accounting
1.2K views

Suds \& Cuts is a local pet grooming shop owned by Collin Bark. Collin has...

Accounting
1.2K views

CASE STUDY 23. Janet Janitorial and the Case of the Serious Service Business Financial Statement...

Finance
1.2K views

Josie's parents decided to buy a new house for their retirement. They are looking at...