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A pension fund manager is considering three mutual funds, the stock fund,

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?"18. A pension fund manager is considering three mutual funds, the stock fund, the";bond fund and a T-bill money market fund that yields a sure rate of 5.5%. The distribution of the risky funds are: (HW4, use the ?secret formula?)";" "E(r)" "Std dev";Stock fund" "15%" "32%";Bond fund" "9%" "23%";The correlation of the stock and the bond fund is 0.15. What?s the expected";return and risk of the tangency portfolio? A) 12.88%, 23.34%";B) 12.16%, 18.41%";C) 20%, 30%";D) 30%, 35%";19. Suppose that the optimal risky portfolio (tangency portfolio) has an expected";return of 13.25% and standard deviation of 24.57%. How can you construct an efficient portfolio for your client Mr. Smith, with an expected return of 12%? The T-Bill gives a guaranteed return of 5.5% (HW4)";A) invest 83.87% in the optimal risky portfolio and the rest in the risk free portfolio";B) invest 16.13% in the optimal risky portfolio and the rest in the risk free portfolio";C) invest 50% in the stock fund and 50% in the bond fund";D) invest 57.8% in the stock fund and the rest in the risk free portfolio";Attachment Preview;Finance sample_test2.pdf;Exam Number;FIN 3710;Investment Analysis;Prof: Lin Peng;Zicklin School of Business;Baruch College;FIN 3710;Sample Midterm 2;NAME;(Please... Show more;Additional Requirements;Other Requirements: i just need a way to solve question 19.

 

Paper#23318 | Written in 18-Jul-2015

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