Reference no: EM132210531

Question - A pension fund manager is considering two mutual funds. The first one is a stock fund, and the second one is a T- Bill money market fund that yields a rate of 0.03%. The probability monthly distribution of the risky funds over the period from 1-11-2013 to 1-08-2018 years, is as follow:

N	Stock	Expected Return	Standard Deviation	Market Cap
1	GM	0.002	0.066	43.12B
2	BA	0.019	0.066	203.75B
3	HSY	0.003	0.053	22.64B
4	BAC	0.013	0.072	258.19B
5	WMT	0.005	0.054	285.73B
6	DIS	0.009	0.051	165.99B
7	APPLE	0.022	0.067	1.04T
8	FB	0.023	0.062	421.65B
9	TM	0.003	0.044	165.8B
10	NTFL	0.034	0.122	2.72M
11	AMZN	0.029	0.076	811.7B
12	NKE	0.014	0.131	114.53B
13	GE	-0.010	0.054	105.77B
14	YUM	0.010	0.058	27.63B

a) What is the investment proportion in the minimum variance portfolio of the selected five risky funds, and what is the expected value and standard deviation of its rate of return?

b) Tabulate and draw the investment opportunities set of the 5 risky funds. Use investment proportions for the stock fund of zero to 100% in increments of 10%?

c) What is the reward to volatility ratio of the feasible CAL?

d) You required that your portfolio yield an annual expected return of 14%, and that it be efficient on the best feasible CAL, what is standard deviation of your portfolio?

e) WHAT is the proportion invested in the T-Bills fund and each of the five risky funds?