Question
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,
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 5.7%. The probability distributions of the risky funds are:
Expected Return Standard Deviation
(Stock)18% 47%
bond 7% 41%
The correlation between the fund returns is .0317.
What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds?(Do not round intermediate calculations. Round your answers to 2 decimal places.)
Expected return%Standard deviation%
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