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 5.5%. The probability distribution of the risky funds is as follows: Expected Return Stock fund (S) Bond fund (B) 15% 9% Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation Standard Deviation 32% The correlation between the fund returns is 0.15. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky, or "tangency", portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) 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 rate of 5.5%. The probability distribution of the risky funds is as follows: Expected Return Stock fund (S) Bond fund (B) 15% 9% Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation Standard Deviation 32% The correlation between the fund returns is 0.15. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky, or "tangency", portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) 23% % %

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 8FPE

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