A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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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 4%. The probability distribution of the risky funds is as follows: Standard Deviation 35% Expected Return Stock fund (S) Bond fund (B) 17% 14 18 The correlation between the fund returns is 0.09. You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) O Answer is complete but not entirely correct. Standard deviation 17.79 8 % b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion Invested T-bill fund Stocks Bonds 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 4%. The probability distribution of the risky funds is as follows: Standard Deviation 35% Expected Return Stock fund (S) Bond fund (B) 17% 14 18 The correlation between the fund returns is 0.09. You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) O Answer is complete but not entirely correct. Standard deviation 17.79 8 % b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion Invested T-bill fund Stocks Bonds
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