A pension fund manager is considering three mutual funds. The first is a stock fund, the...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
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) 16% Bond fund (B) 10% The correlation between the fund returns is 0.20. 36% 27% Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to 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) 16% Bond fund (B) 10% The correlation between the fund returns is 0.20. 36% 27% Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to
Expert Answer:
Posted Date:
Students also viewed these finance questions
-
Determine whether the given functions are even, odd, or neither. a. x sin(x) c. x cos(x) e. x sin(x) + x sin(x) f. x sin(x) + x cos(x) even h. x sin(x) + x cos(x) j. x cos (x) + x cos(x) b. x sin(x)...
-
A tire manufacturer has been concerned about the number of defective tires found recently. In order to evaluate the true magnitude of the problem, a production manager selected 10 random samples of...
-
The consumer loan department at National Bank wants to develop a forecasting model to help determine its potential loan application volume for the coming year. Since adjustable-rate home mortgages...
-
Branden Company, a midsize manufacturer of specialized machinery, follows these purchasing procedures: Materials purchase requisitions are approved by manufacturing supervisors and then forwarded to...
-
Youre the CFO of the Overseas Sprocket Company, which imports a great deal of product from Europe and the Far East and is continually faced with exchange rate exposure on unfilled contracts. Harry...
-
The risk-free rate is 3.7 percent and the expected return on the market is 12.3 percent. Stock A has a beta of 1.1 and an expected return of 13.1 percent. Stock B has a beta of .86 and an expected...
-
Q: Your division in considering two investment projects, each of which requires an up-front expenditure of $25 million. You estimate that the cost of capital is 10% and that the investments will...
-
Gand Co. are a firm of Chartered Accountants. The firm acts as auditors to HI] (Cash and Carry) Ltd, a small wholesaling company which imports electronic consumer goods for sale to the retail trade....
-
Compare and contrast the auditing standards of France and Japan with those of the United Kingdom. What differences appear to exist in the fundamental role of the auditor in each of these countries?
-
Telluride Railway sells half of its tickets for the regular price of \(\$ 60\). The other half go to senior citizens and children for the discounted price of \(\$ 40\). Variable cost per passenger is...
-
The directors of Woebun Standard Components plc have been very successful in persuading their customers to pay, on average, in one month. However, they believe that this policy is restricting sales...
-
You are the auditor of International Conglomerates plc. The company has several major overseas subsidiaries. Describe the matters which should be covered in a questionnaire for the auditors of these...
-
You're carrying a 3.4-m-long, 21kg pole to a construction site when you decide to stop for a rest. You place one end of the pole on a fence post and hold the other end of the pole 35 cm from its tip....
-
The manager of a local convenience store is expanding his line of small toy items. To price these new items, the manager is looking at the prices being charged by competing retailers in his area. For...
-
Situational and Contingency theory: A. Embodies the idea that the leader does the right thing based on the situation. B. Involves assessing the nature of the task and the followers motivation to...
-
Kouzes and Posner (1995) asserted that leaders use the following practice(s) of leadership: A. Challenging the status quo. B. Inspiring a shared vision. C. Enabling others to act rather than to...
-
Kelley (1992, 1998) outlined types of followers as: A. Sheep, or yes, people. B. Alienated followers. C. Effective, or exemplary, followers. D. All of the above.
Study smarter with the SolutionInn App