Solve numerically for the proportions of each asset

Reference no: EM132206360

Question - 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 rate of 4.0%. The probability distribution of the risky funds is as follows:

	Expected Return	Standard Deviation
Stock fund (S)	10%	32%
Bond fund (B)	7	24

The correlation between the fund returns is 0.13.

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.

Reference no: EM132206360

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