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 long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.5%. The probability distributions of the risky funds are: Expected Return 15 Stock fund (8) Bond fund () Standard deviation 400 314 90 The correlation between the fund returns is 0.15. Required: Who is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) Expected return Standard deviation 12.83 % 29.38% 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 long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (B) Expected Return 154 98 Standard deviation 40 31N The correlation between the fund returns is 0.15. Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) Portfolio invested in the stock Portfolio invested in the bond Expected retum Standard deviation 63.82% 36.18% 12.83 % 29.38% E 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 long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.5%. The probability distributions of the risky funds are: Expected Return Stock Fund (S) Bond fund (B) 156 Standard deviation 408 314 98 The correlation between the fund returns is 0.15. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal pla !!!) Shape ratio 0.2835 Suppose now that your portfolio must yield an expected return of 12% 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 2 decimal places.) Standard deviation 29.38% b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bil fund 36.18% b-2. What is the proportion invested in each of the two risky funds (Do not round intermediate calculations. Round your answers to 2 decimal places.) Proportion Invested 63.82 % Stocks
