A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long term bond, and the third is a money fund that provides a safe return of 7%. The stock fund has an expected return of 19% and a standard deviation of 31%. The bond fund has an expected return of 14% and a standard deviation of 23%. The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. What is the proportion invested in the money market fund and each of the two risky funds (rounded to 2 decimal places)? Proportion Invested: Money Market Fund = ?% Stocks = ?% Bonds = ?%
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long term bond, and the third is a money fund that provides a safe return of 7%. The stock fund has an expected return of 19% and a standard deviation of 31%. The bond fund has an expected return of 14% and a standard deviation of 23%. The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. What is the proportion invested in the
Proportion Invested:
Money Market Fund = ?%
Stocks = ?%
Bonds = ?%
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