In: Finance
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 5.6%. The probability distributions of the risky funds are:
Expected return | standard deviation | |
---|---|---|
Stock Funds (S) |
17% | 46% |
Bond Fund (B | 8% | 40% |
The correlation between the fund returns is 0.0600. 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.)
Expected Return | % |
Standard Deviation | % |