A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund
Posted: Sun Jul 03, 2022 12:54 pm
A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term bond fund, and thethird is a money market fund that provides a safe return of 5%. Thecharacteristics of the risky funds are as follows:
The correlation between the fund returns is 0.10.You require that your portfolio yield an expected return of 14%,and that it be efficient, that is, on the steepest feasibleCAL.a. What is the standard deviation of yourportfolio? (Round your answer to 2 decimalplaces.)
b. What is the proportion invested in themoney market fund and each of the two riskyfunds? (Round your answers to 2 decimalplaces.)
The correlation between the fund returns is 0.10.You require that your portfolio yield an expected return of 14%,and that it be efficient, that is, on the steepest feasibleCAL.a. What is the standard deviation of yourportfolio? (Round your answer to 2 decimalplaces.)
b. What is the proportion invested in themoney market fund and each of the two riskyfunds? (Round your answers to 2 decimalplaces.)