A pension fund manager is considering three assets. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill yielding 0.04. The probability distribution of the risky funds is as follows:Expected ret. std. dev. Stock fund0.160.24Bond fund0.090.11The correlation between the fund returns is 0.15. An investor has a risk-aversion of 9. In her optimal complete portfolio (including stocks, bonds, and risk-free assets), what is the proportion of the risk-free asset
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A pension fund manager is considering three assets. The first is a stock fund, the second is a long-...
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