Question
pension fund manager is considering three mutual funds. The first is a stock fund, the second...
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 0.0800.
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.)
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