Business
Business, 11.06.2020 20:57, rnunez3

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: 3

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