# 2023 A pension fund manager is considering three mutual funds The first is a

Pension Fund 2023 Business & Finance

2023 A pension fund manager is considering three mutual funds The first is a

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 3.0%. The probability distributions of the risky funds are
What is the standard deviation of your portfolio?
What is the proportion invested in the T-bill fund
What is the proportion invested in each of the two risky funds?

 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 3.0%. The probability distributions of the risky funds are:

 Expected Return Standard Deviation Stock fund (S) 12 % 41 % Bond fund (B) 5 % 30 %

 The correlation between the fund returns is .0667.

 Suppose now that your portfolio must yield an expected return of 9% and be efficient, that is, on the best feasible CAL.

 a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

 Standard deviation [removed]%

 b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

 Proportion invested in the T-bill fund [removed]%

 b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

 Proportion Invested Stocks [removed]% Bonds [removed]%

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