Suppose now that your portfolio must yleld 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?

Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
7th Edition
ISBN:9780357033609
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter13: Investing In Mutual Funds, Etfs, And Real Estate
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Suppose now that your portfolio must yleld 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?

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 (8)
The correlation between the fund returns is 0.15.
15%
9%
Standard
Deviation
32%
23%
Transcribed Image Text: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 (8) The correlation between the fund returns is 0.15. 15% 9% Standard Deviation 32% 23%
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