A pension fund manager is considering three mutual funds. The first is a stock fund, the...

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Finance

A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.4%. The probability distributions ofthe risky funds are:
Expected Return Standard Deviation
Stock fund (S) 14% 34%
Bond fund (B) 5% 28%
The correlation between the fund returns is 0.0214.

What is the expected return and standard deviation for theminimum-variance portfolio of the two risky funds?
What is the Sharpe ratio of the best feasible CAL?

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A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.4%. The probability distributions ofthe risky funds are:Expected ReturnStandard DeviationStock fund (S)14%34%Bond fund (B)5%28%The correlation between the fund returns is 0.0214.What is the expected return and standard deviation for theminimum-variance portfolio of the two risky funds?What is the Sharpe ratio of the best feasible CAL?

	Expected Return	Standard Deviation
Stock fund (S)	14%	34%
Bond fund (B)	5%	28%