Question
In: Finance
A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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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 3.0%. The probability distributions of the risky funds are: |
| Expected Return | Standard Deviation | |
| Stock fund (S) | 12% | 41% |
| Bond fund (B) | 5% | 30% |
| The correlation between the fund returns is .0667. |
|
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 | % |
Solutions
Expert Solution
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Answer:
1) 7.37%
2) 24.96%
jeff jeffy answered 2 years agoRelated Solutions
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