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 5.5%. The probability distributions of the risky funds are
expected return | Standard deviation | |
Stock fund | 15% | 32% |
Bond fund | 9 | 23 |
The correlation between the fund returns is .15. Required: What expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Answer is in % form (XX.XX%), not decimal form (0.XXXX) Round your answers to 2 decimal places. Omit the "%" sign in your response.)
Expected return %
Standard deviation %
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