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 4.6%. The probability distributions of the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 16% | 36% |
| Bond fund (B) | 7% | 30% |
| The correlation between the fund returns is .0800. |
What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds?
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Project Financing Analyzing And Structuring Projects
Authors: Frank J Fabozzi, Carmel De Nahlik
1st Edition
9811232393, 9789811232398
