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 5.6%. The probability distributions of
the risky funds are:
Expected Return | Standard Deviation | |
Stock fund (S) | 17% | 46% |
Bond fund (B) | 8% | 40% |
The correlation between the fund returns is 0.0600.
What is the expected return and standard deviation for the
minimum-variance portfolio of the two risky funds? (Do not
round intermediate calculations. Round your answers to 2 decimal
places.)
Please refer to below spreadsheet for calculation and answer. Cell reference also provided.
Cell reference -
Hope this will help, please do comment if you need any further explanation. Your feedback would be highly appreciated.
A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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: Standard Deviation Stock fund (5) Bond fund (B) Expected Return 15% 9% The correlation between the fund returns is 15. What is the expected return and standard deviation for the minimum...
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: Stock fund (S) Bond fund (B) Expected Return 15% 9% Standard Deviation 32% 23% The correlation between the fund returns is .15. What is the expected return and standard deviation for...
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 47%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund 373 (5) Bond fund (8) 31% The correlation between the fund returns is 0.1065. What is the expected return and standard deviation for the minimum...
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