Consider the following two assets. The first is a stock fund, the second is a long-term government and corporate bond fund. The probability distribution of the funds is as follows: Expected ret std. dev. Stock fund 24% 28% Bond fund 11% 14% The correlation between the fund returns is 0.2. What is the investment proportion in the minimum variance portfolio of the bond fund? Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321 .
Consider the following two assets. The first is a stock fund, the second is a long-term government and corporate bond fund. The probability distribution of the funds is as follows: Expected ret std. dev. Stock fund 24% 28% Bond fund 11% 14% The correlation between the fund returns is 0.2. What is the investment proportion in the minimum variance portfolio of the bond fund? Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321 .
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 5P
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Consider the following two assets. The first is a stock fund, the second is a long-term government and corporate bond fund. The probability distribution of the funds is as follows:
Expected ret std. dev. Stock fund 24% 28% Bond fund 11% 14%
The correlation between the fund returns is 0.2. What is the investment proportion in the minimum variance portfolio of the bond fund? Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321 .
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