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A pension fund manager is considering three mutual funds. The first is a stock fund, the...

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 5.3%. The probability distributions of the risky funds are:

Expected Return Standard Deviation
Stock fund (S) 14% 43%
Bond fund (B) 7% 37%

The correlation between the fund returns is 0.0459.

What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds?

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