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 4.7%. The probability distributions of
the risky funds are:
Expected Return | Standard Deviation | |
Stock fund (S) | 17% | 37% |
Bond fund (B) | 8% | 31% |
The correlation between the fund returns is 0.1065.
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.)