Question
[YOU SHOULD USE EXCEL TO CHECK YOUR CALCULATIONS] A pension fund manager is considering three mutual...
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[YOU SHOULD USE EXCEL TO CHECK YOUR CALCULATIONS] 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 two risky funds are: |
| Expected Return | Standard Deviation | |
| Stock fund (S) | 16% | 45% |
| Bond fund (B) | 7% | 39% |
| The correlation between the two fund returns is .0385. |
|
What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) |
| Expected return | % |
| Standard deviation | % |
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