a correlation coefficient

Problem 6.An investor is considering investing $100,000 in three mutual funds. The firstis a stock fund, the second is a long-term government and corporate bond fund, and the thirdis a T-bill money ma

Problem 6.

An investor is considering investing $100,000 in three mutual funds. The firstis a stock fund, the second is a long-term government and corporate bond fund, and the thirdis a T-bill money market fund that yields a risk-free rate of 5 percent. Returns on the stockfund and the bond fund have a correlation coefficient of 0.1 and the following characteristics:

Connect with a professional writer in 5 simple steps

Please provide as many details about your writing struggle as possible

Academic level of your paper

Type of Paper

When is it due?

How many pages is this assigment?

Expected Return  Standard deviation

Stock fund:                        17 %                     20%

Bond fund  :                         9%                       12%

A: When picking the optimal risky-portfolio, how much will the investor invest in each ofthe risky mutual funds?

B: What is the expected value, standard deviation and the Sharpe ratio of the optimalrisky portfolio?

C: If the investor has a standard utility function over returns and has a risk aversioncoefficient of 3, how much will the investor invest in the risk-free mutual fund?

D: What is the expected value, standard deviation and the Sharpe ratio of the optimalportfolio?

Hide 

 

“Is this question part of your assignment? We Can Help!”


a correlation coefficient was first posted on November 5, 2019 at 2:13 pm.
©2019 "Nursing Researcher". Use of this feed is for personal non-commercial use only. If you are not reading this article in your feed reader, then the site is guilty of copyright infringement. Please contact me at admin@nursingresearcher.com