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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 is
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 sure rate of The probability
distributions of the risky funds are:
The correlation between the fund returns is
Suppose now that your portfolio must yield an expected return of and be efficient, that is on the best feasible CAL.
Required:
a What is the standard deviation of your portfolio? Do not round intermediate calculations. Round your answer to decimal
places.
Answer is complete and correct.
b What is the proportion invested in the Tbill fund? Do not round intermediate calculations. Round your answer to decimal
places.
b What is the proportion invested in each of the two risky funds? Do not round intermediate calculations. Round your answers to
decimal places. please help with b and b
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