Ans in TXT form A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term governmentand corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probabilitydistributions of the risky funds are:Stock fund (S)Bond fund (8)15%9%The correlation between the fund returns is 0.15.Standard deviationSuppose now that your portfolio must yield an expected return of 12% 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 2 decimalplaces.)Expected Return%Proportion invested in the T-bill fundb-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimalplaces.)StocksBondsStandardDeviation32%23%Proportion Investedb-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to2 decimal places.)4

ParticularsStock XStock YExpected return15%9%Risk-free rate5.5%Standard deviations32%23%Expected…

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 sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Stock fund (s) Bond fund (B) The correlation between the fund returns is 0.15. 15% 9% Standard Deviation 32% 23% uppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL. Required:

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 sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Stock fund (s) Bond fund (B) The correlation between the fund returns is 0.15. 15% 9% Standard Deviation 32% 23% uppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL. Required:

Essentials of Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter5: Probability: An Introduction To Modeling Uncertainty

Section: Chapter Questions

Problem 30P: Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of...

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