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! Required information [ The following information applies to the questions displayed below. ] A pension fund manager is considering three mutual funds. The first
Required information
The following information applies to the questions displayed below.
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 riskfree rate of The probability
distributions of the risky funds are:
The correlation between the fund returns is
YOU SHOULD USE EXCEL TO CHECK YOUR CALCULATIONS
Required:
Compute the proportions of stock fund and bond fund of the optimal risky portfolio, and calculate the expected return and standard
deviation of the optimal risky portfolio. Assume that short sales of mutual funds are allowed. Do not round intermediate calculations.
Enter your answer as a percentage rounded to two decimal places.
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