Your portfolio must yield expected return

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Reference no: EM132054771

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 sure rate of 4.8%. The probability distributions of the risky funds are:

expected return standard deviation

Stock Fund ( S )---------18%-------------38%

Bond Fund ( B )----------9----------------32

the correlation between the fund returns is .13

Suppose now that your portfolio must yield an expected return of 15% and be efficient, that is, on the best feasible CAL. What is the standard deviation of your portfolio? What are the proportion invested in the T-bill fund and each of two risky funds?

Reference no: EM132054771

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