What is the mean of the minimum variance portfolio

Reference no: EM133377085

Question As a pension fund manager at Heitman Capital Management , you are 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 5.0%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 20% 35% Bond fund (B) 10% 20% The correlation between the fund returns is 0.1.

What is the minimum-variance portfolio proportion in stock fund ?(sample answer: 24.50%)

What is the mean of the minimum variance portfolio ? (sample answer: 15.40%

What is the standard deviation of the minimum variance portfolio ? (sample answer: 15.40%)

What is the Sharpe ratio of the minimum variance portfolio ? (sample answer: 0.55)

Reference no: EM133377085

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