What is the proportion invested in the T-bill

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Question - The Queens fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term corporate bond fund, and the third is a T-bill that yields a risk-free rate of 5%. Expected return Stock fund 20%, Bond fund 10%. Standard deviation for Stock is 40%, and for bonds is 25%. ρ=0.15

(A) Suppose that your portfolio must yield an expected return of 13%, what is the proportion invested in the T-bill and each of the two risky funds?

(B) If you were to use only the two risky funds and still require an expected return of 13%, what would be the investment proportions of your portfolio?

Reference no: EM132944273

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