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what is the standard deviation of your portfolio? what is the proportion invested in the t bill fund. stock fund 1 6 % 3 2
what is the standard deviation of your portfolio? what is the proportion invested in the t bill fund. stock fund bond fund the correlation between the fubnd return is
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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 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:
Stock fund S
Expected Return
Standard Deviation
Bond fund
The correlation between the fund returns is
Problem Algo
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.
Standard deviation
b What is the proportion invested in the Tbill fund? Do not round intermediate 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 intermediate calculations. Round your answers to
decimal places.
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