What is the minimum-variance portfolio proportion

Reference no: EM133411774

Case: 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 [x]?

What is the mean of the minimum variance portfolio [y]?

What is the standard deviation of the minimum variance portfolio [z]?

What is the Sharpe ratio of the minimum variance portfolio [w]?

Reference no: EM133411774

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