Business, 02.06.2020 20:59 Joseph17Peralta

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 rate of 8%. The probability distribution of the risky funds is as follows:
Expected Return Standard Deviation
Stock fund (S) 20 % 30 %
Bond fund (B) 12 15
The correlation between the fund returns is 0.10.
1. Tabulate and draw the investment opportunity set of the two risky funds. Use investment proportions for the stock fund of 0% to 100% in increments of 20%. What expected return and standard deviation does your graph show for the minimum-variance portfolio?
2. What is the reward-to-volatility ratio of the best feasible CAL?
3. Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL.
A. What is the standard deviation of your portfolio?
B. What is the proportion invested in the T-bill fund and each of the two risky funds
4. If you were to use only the two risky funds and still require an expected return of 12%, what would be the investment proportions of your portfolio? Compare its standard deviation to that of the optimal portfolio in the previous problem. What do you conclude?

Answers: 2

Show answers

Another question on Business

Business, 21.06.2019 19:20

What impact did the economic opportunities in pennsylvania and new york have on virginia? a. virginia planters started to migrate to new york. b. new yorkers began buying up cheap virginia real estate. c. virginians found themselves resorting increasingly to slavery. d. virginians loosened their slave laws to attract more migrants.

Answers: 2

Answer

Business, 22.06.2019 12:40

When cell phones were first entering the market, they were relatively large and reception was undependable. all cell phones were essentially the same. but as the technology developed, many competitors entered, introducing features unique to their phones. today, cell phones are only a small fraction of the size and weight of their predecessors. consumers can buy cell phones with color screens, cameras, internet access, daily planners, or voice activation (and any combination of these features). the history of the cell phone demonstrates what marketing trend?

Answers: 3

Answer

Business, 22.06.2019 21:10

Which of the following statements is (are) true? i. free entry to a perfectly competitive industry results in the industry's firms earning zero economic profit in the long run, except for the most efficient producers, who may earn economic rent. ii. in a perfectly competitive market, long-run equilibrium is characterized by lmc < p < latc. iii. if a competitive industry is in long-run equilibrium, a decrease in demand causes firms to earn negative profit because the market price will fall below average total cost.

Answers: 3

Answer

Business, 23.06.2019 09:00

It will gain you more knowledge, intensify your soft skills, grow your strong work ethics and grow your network and grow your network. what is it ?

Answers: 3

Answer

You know the right answer?

A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a...

Questions