Business
Business, 19.05.2020 19:59, JvGaming2001

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% 32%
Bond fund (B) 9 % 23%
The correlation between the fund returns is 0.15.
a-1. Calculate the expected return.
Expected return %
a-2.What would be the investment proportions of your portfolio?
Investment Proportions
Stocks %
Bonds %
b. Calculate the standard deviation of the portfolio which yields an expected return of 12%. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Standard deviation %

answer
Answers: 2

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