Question
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 5.0%. The probability distributions of
the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 11% | 40% |
| Bond fund (B) | 6% | 20% |
The correlation between the fund returns is 0.0500.
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.)
|
Homework Answers
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