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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
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a longterm government and corporate bond fund, and the third is a Tbill money market fund that yields a rate of The probability distribution of the risky funds is as follows:
Expected Return Standard Deviation
Stock fund S
Bond fund B
The correlation between the fund returns is
Tabulate the investment opportunity set of the two risky funds use a similar table as below:
Proportion
in Stock Fund Proportion
in Bond Fund Expected
Return Standard
Deviation
If the risk free rate is what is the optimal risky portfolio the tangency portfolio, ie what are its weights, return and variance
Portfolio invested in the stock
Portfolio invested in the bond
Expected return
Standard deviation
What is the minimum variance portfolio?
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