Question
Question 1 5 Points B C D 2 A pension fund manager is considering 3 mutual funds. 3 The first is a stock fund, the
Question 1
5 Points
| B | C | D |
2 | A pension fund manager is considering 3 mutual funds. |
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3 | The first is a stock fund, the second is a corporate bond fund, |
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4 | and the fhird is a Treasury Bill fund. |
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5 | The rate of return on the T-Bill fund is | 5.00% |
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6 | You have the following data on the two risky funds: |
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7 |
| Expected | Standard |
8 | Fund | Return | Deviation |
9 | Bond | 8.0% | 0.2400 |
10 | Stock | 28.0% | 0.3800 |
11 | Correlation Coefficient (rho) |
| -.8000 |
What is the Covariance between the two assets in the optimal risky portfolio? COV = rho*SDstock*SDbond
COV = -0.07296
COV = -0.07796
COV = -0.07776
COV = 0.08296
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