What is the expected value and standard deviation

Reference no: EM132210516

Question 1 - A pension fund manager is considering two mutual funds. The first one is a stock fund, and the second one is a T- Bill money market fund that yields a rate of 0.03%. The probability monthly distribution of the risky funds is as follow:

N	Stock	Expected Return	Standard Deviation
1	GM	0.002	0.066
2	Boing	0.019	0.066
3	HSY	0.003	0.053
4	BAC	0.013	0.072
5	WMT	0.005	0.054
6	DIS	0.009	0.051
7	APPLE	0.022	0.067
8	FB	0.023	0.062
9	TM	0.003	0.044
10	NTFL	0.034	0.122
11	AMZN	0.029	0.076
12	NKE	0.014	0.131
13	GE	-0.010	0.054
14	KFC	0.024	0.138

a) What are the investment proportion in the minimum variance portfolio of the selected five risky funds, and what is the expected value and standard deviation of its rate of return?

b) Tabulate and draw the investment opportunities set of the 5 risky funds. Use investment proportions for the stock fund of zero to 100% in increments of 10%?

c) What is the reward to volatility ratio of the feasible CAL?

d) You required that your portfolio yield an annual expected return of 14%, and that it be efficient on the best feasible CAL, what is standard deviation of your portfolio?

e) WHAT is the proportion invested in the T-Bils fund and each of the five risky funds?

Question 2 -

a) Draw the investment opportunities set of the complate portfolio. What does your graph show for the expected return and standard deviation of the optimal portfolio?

b) Mathematical derivation of Event Study, Markowitz, CAPM and Black Litterman models?

c) Write your report regarding to your portfolio.

Reference no: EM132210516

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