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 4.3%. The probability distributions ofthe risky funds are:

Expected Return Standard Deviation
   Stock fund (S) 13%         34%
   Bond fund (B) 6%         27%

The correlation between the fund returns is .0630.

What is the expected return and standard deviation for theminimum-variance portfolio of the two risky funds? (Do notround intermediate calculations. Round your answers to 2 decimalplaces.)

  Expected return %
  Standard deviation %

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Minimum variance portfolio is the portfolio which has thehighest Sharpe ratioRespective fund See Answer

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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 4.3%. The probability distributions ofthe risky funds are: Expected ReturnStandard Deviation Stock fund (S)13% 34% Bond fund (B)6% 27% The correlation between the fund returns is .0630. What is the expected return and standard deviation for theminimum-variance portfolio of the two risky funds? (Do notround intermediate calculations. Round your answers to 2 decimalplaces.) Expected return% Standard deviation%

	Expected Return	Standard Deviation
Stock fund (S)	13%	34%
Bond fund (B)	6%	27%