What is the standard deviation of your portfolio

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A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a corporate bond fund, adn the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Stock fund (S) -Expected return (%) 15 Standard Deviation (%) 32 Bond fund (B) Expected return (%) 9 Standard Deviation (%) 23 The correlation between the fund returns is 0.15. 1,What is the portfolio weight for the corporate bond fund in the optimal risky portfolio? 2,What is the Sharpe ratio for the best feasible CAL? 3,Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasbile CAL. What is the standard deviation of your portfolio? And what is the proportion invested in the stock fund?

Reference no: EM13257671

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