Suppose the universe of available securities include only two risky stock funds, a and b, and...
Suppose the universe of available securities include only two risky stock funds, a and b, and T-bills.
() The correlation between fund a and fund b is 0.20 (i.e., = . ).
| E(r) | ∂ | |
|
Fund a |
12% |
20% |
|
Fund b |
20% |
40% |
|
T-bills |
2% |
0% |
(1) If you invest in the two risky funds, what is the lowest level of portfolio volatility you can achieve? What about the expected return of this portfolio? (Hint: Compute the weights and for the global minimum-variance portfolio ; then use the weights to compute E(r) and ∂ for G
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Suppose the universe of available securities include only two
risky stock funds, a and b, and...
Suppose the universe of available securities include only two risky stock funds, a and b, and...
Suppose the universe of available securities include only two risky stock funds, a and b, and T-bills. () The correlation between fund a and fund b is 0.20 (i.e., = . ). Fund a 12% 20% Fund b 20% 40% T-bills 2% 0% (2) If you invest in the two risky funds, what is the best “reward-to-volatility ratio” you can achieve? (Hint: Compute the weights and for the optimal risky portfolio ; then use the weights to calculate E(r), ∂,...
1. The universe of available securities includes two risky stock funds, A and B and T-bills....
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1. The universe of available securities includes two risky stock funds, A and B, and T-blls....
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finance help please 1. Assume that you manage a risky portfolio with an expected rate of...
finance help please
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1. The universe of available securities includes two risky stock funds, A and B, and T-blls. The data for the universe are as follows Expected Return Standard Deviation A 10% 20% В 30 60 T-bills The correlation coefficient between funds A and B is -0.2. a. Find the optimal risky portfolio, P, and its expected return and standard deviation. b. Find the slope of the CAL supported by T-bills and portfolio P c. How much will an investor with A...
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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 sure rate of 5.5%. The probability distributions of th risky funds are The following data apply to Problems 8-12. Standard Deviation 32% 23 Expected Return 15% Stock fund (S Bond fund (B) The correlation between the fund returns is.15 8. Tabulate and draw...
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 8%. The probability distribution of the risky funds is as follows: Expected Return 20% Standard Deviation 30% 15 Stock fund (5) Bond fund (B) 12 The correlation between the fund returns is 0.10. a-1. What are the investment proportions in the...
finance help please
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