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 sure rate of 5.5%. The probability distributions of the risky funds are:

	Expected Return	Standard Deviation
Stock Fund (S)	16%	40%
Bond Fund (B)	10%	31%

Correlation between the fund returns is 0.12

What is the expected return and Standard Deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculation. Round your answers to 2 decimal places.)

My Answers:

Expected Return: 12.15% WRONG

Standard Deviation: 25.88% CORRECT