6.) A pension fund manager is considering three mutual funds. The first is a sto
ID: 3439488 • Letter: 6
Question
6.) 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 5%. The probability distribution of the risky funds is as follows:
You require that your portfolio yield an expected return of 12%, and that it be efficient, on the best feasible CAL.
What is the standard deviation of your portfolio? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)
What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.Omit the "%" sign in your response.)
Expected Return Standard Deviation Stock fund (S) 17 % 38 % Bond fund (B) 13 18
Explanation / Answer
6.) A pension fund manager is considering three mutual funds. The first is a sto
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