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Business, 29.03.2021 23:10 dpaul4287

A pension fund is considering three mutual funds. The first is a stock fund, the second is a bond fund, and the third is a short-term Treasury fund yielding 1%. The distributions of the risky funds are: Expected Return Standard Deviation Stock Fund (S) 10% 25% Bond Fund (B) 5% 12% The correlation between the fund returns is 0.2. Find the weights on stocks (ws) and bonds (wb) associated with the optimal tangency portfolio.

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