What is the standard deviation of your portfolio

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Reference no: EM13923608

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 8%. The probability distribution of the risky funds is as follows:

Expected Return

Stock fund (S) 20% Bond fund (B) 12

The correlation between the fund returns is .10.

Standard Deviation

30% 15

You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL.

What is the standard deviation of your portfolio?

What is the proportion invested in the T-bill fund and each of the two risky funds?

Reference no: EM13923608

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