As a portfolio manager, you are considering three mutual funds:
a stock fund, a bond fund, and a money market bond that yields a
sure rate of
2.75 %. Below is the information
concerning the two risky funds: (Total 50 points)
Expected return
Standard deviation
Stock fund
0.28
0.43
Bond fund
0.06
0.11
The correlation between fund returns is
0.08 .
Find the weights of the minimum-variance
portfolio and calculate its expected return and its standard
deviation. Show...