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[ The following Information applies to the questions displayed below. ] A pension fund manager is considering three mutual funds. The first is a stock
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 ylelds 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 yleld an expected return of and be efficlent, that Is on the best feasible CAL.
Requlred:
a What is the standard deviation of your portfolio? Do not round Intermedlate calculations. Round your answer to decimal
places.
b What is the proportion Invested in the Tbill fund? Do not round Intermedlate calculations. Round your answer to decimal
places.
Proportion invested in the Tbill fund
b What is the proportion Invested in each of the two risky funds? Do not round Intermedlate calculations. Round your answers to
decimal places.
USE EXCEL TO SOLVE THIS AND SHOW ALL EQUATIONS THANKS
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