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ezto.mheducation.com A Pension Fund Manager Is Considering Three Mutual... Chegg.com 24. value: 3.03 points Problem 6-11 Apension fund manager is considering three mutual funds. The first is a stock fund, the second is a long- term govenment and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Retum 15% 9% Standard Deviation 32% 23% Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.15. Suppose now that your portfolio must yield an expected returm of 12% and be efficient, that is, on the best feasible
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Unformatted text preview: CAL a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation % b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund % b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Proportion Invested Stocks % Bonds % References eBook & Resources Worksheet Difficulty Intermediate Problem 6-11 Leaming Objective: 06-04 Calculate...
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  • Winter '19
  • Richard Levi

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